Hobijn, B., P. H. Franses and M. Ooms,1998, Generalizations of the KPSS-test for stationarity, Econometric Institute Report, no. 9802/A (Erasmus University, Rotterdam). Home/Search Document Details and Download
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Testing the Predictability of Stock Returns - Lanne (Correct)
.... estimated using the Bartlett kernel estimator with automatic 13 bandwidth selection procedure of Newey and West (1994) As was mentioned above, the consistency of the test requires the bandwidth to be o(T ) both under the null and alternative hypotheses, which is guaranteed by this procedure (see Hobijn, Franses and Ooms (1998, Lemma 2) 5 . The test seems to be rather robust w.r.t. the lag length, though. In no case is the null hypothesis rejected at the 5 level. Hence, these results suggest that the dividend price ratio does not predict future stock returns even for longer horizons. Recalling that the test does ....
Hobijn, B., P. H. Franses and M. Ooms,1998, Generalizations of the KPSS-test for stationarity, Econometric Institute Report, no. 9802/A (Erasmus University, Rotterdam).
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