The forecasting literature has identified three important and broad issues: the predictive content is unstable over time, in-sample and out-of-sample discordant results and the problematic statistical inference with highly persistent predictors. In this paper, we simultaneously address these...

Researchers in finance very often rely on highly persistent - nearly integrated - explanatory variables to predict returns. This paper proposes to stand up to the usual problem of persistent regressor bias, by detrending the highly auto-correlated predictors. We find that the statistical...

Researchers in finance very often rely on highly persistent Ñ nearly integrated Ñ explanatory variables to predict returns. This paper proposes to stand up to the usual problem of persistent regressor bias, by detrending the highly auto-correlated predictors. We find that the statistical...