Lugar: Sala de Reuniones del Departamento de Economía nº 2026 (2ª planta del Edificio Los Madroños).

Ponente:  Weifeng Jin (Universitat de Barcelona)

Título: Directional Predictability Tests  (trabajo conjunto con Carlos Velasco)

Abstract:  This article proposes new tests of predictability for non-Gaussian sequences that may display general nonlinear dependence in higher-order properties. We test the null of martingale difference against parametric alternatives which can introduce linear or nonlinear dependence as generated by ARMA and all-pass restricted ARMA models, respectively. We also develop tests to check for linear predictability under the white noise null hypothesis parameterized by an all-pass model driven by martingale difference innovations. Our Lagrange Multiplier tests are developed from a loss function based on pairwise dependence measures that identify the predictability of levels. We provide asymptotic and finite sample analysis of the properties of the new tests and investigate the predictability of different series of financial returns.