We consider inference of predictive regression with multiple predictors. Extant tests for predictability, including those constructed with robustness to unknown persistence and endogeneity of predictors, may perform unsatisfactorily and tend to discover spurious predictability as the number of...

Research in finance and macroeconomics has routinely used multiple horizons to test asset return predictability. In a simple predictive regression model, we find the popular scaled test can have zero power when the predictor is not sufficiently persistent. A new test based on implication of the...

We consider the regression discontinuity (RD) design with the duration outcome which has discrete support. The parameters of policy interest are treatment effects on unconditional (duration effect) and conditional (hazard effect) exiting probabilities for each discrete level. We propose a novel...