In this paper we use bootstrap approach to test the null hypothesis thatall forecasters in the U.S. Surveys of Professional Forecasters (SPF) have equalability. Our bootstrap procedure captures any potential cross-sectional andserial correlation in the forecast errors while preserving the...

This paper considers bootstrap inference in model averaging for predictive regressions. We firstshow that a naïve bootstrap approach, which consists of stacking all residuals at time t into a vector, and then resampling these cross-sectional vectors of residuals over time is invalid in the...

This paper studies standard predictive regressions in economic systems governed by persistent vector autoregressive dynamics for the state variables. In particular, all - or a subset - of the variables may be fractionally integrated, which induces a spurious regression problem. We propose a new...

We provide the first comprehensive analysis of options-implied information for predicting the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that only few option characteristics...