This article develops a novel nonparametric time-varying auto-regressive distributed-lag model to estimate and test the persistence of inflation. To characterize the temporal instability of persistence in the inflation process, our proposed model allows for time-varying coefficients with...

According to present-value models, a financial valuation ratio should predict future stock returns or cash flows but empirically shows little power. This paper develops insights about stock return predictability and reconciles the contradicting findings. We decompose a financial ratio into (1) a...

This paper proposes a novel semiparametric time-varying model for long-horizon predictive regressions in which the coefficients are allowed to change over time with unspecified functional forms. A linear projection method is employed to deal with the embedded endogeneity issue. We pursue an...

This appendix to “Nonparametric Modeling for the Time-Varying Persistence of Inflation” presents supplementary results using an alternative measure of inflation based on the GDP deflator. First, we provide the local linear estimation results of time-varying inflation persistence using...

Measurements of photosynthetically active radiation (PAR) and global solar radiation (G) at WHU, Central China during 2006–2011 were used to investigate the seasonal characteristics of PAR and PAR/G (PAR fraction). Both PAR and PAR fraction showed similar seasonal features that peaked in...

We decompose earnings yield into a smoothing component and a stationary residual component to isolate the fluctuations due to variation in expected returns from those due to the change in the forecast of dividend dynamics. The residual component forms a powerful predictor of dividend growth...