We develop an exact and distribution-free procedure to test for quantile predictability at several quantile levels jointly, while allowing for an endogenous predictive regressor with any degree of persistence. The approach proceeds by combining together the quantile regression t-statistics from...

This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...

In this paper, I identify the long-run risks (LRR) in the frequency domain, and further estimate the macro (consumption) risk premia in different frequency ranges. To achieve the identification, I employ the long-run projections and the associated inference procedure for I(0) process developed...