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Distribution Shifts in Predictive Panels

SSRN Electronic Journal
2023
  • 1
    Citations
  • 949
    Usage
  • 1
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    1
    • Citation Indexes
      1
  • Usage
    949
    • Abstract Views
      816
    • Downloads
      133
  • Captures
    1
  • Ratings
    • Download Rank
      433,102

Article Description

This paper studies the dynamics of realized accuracy obtained with predictive panel models. A decision maker is affected by a loss of accuracy from an estimated model with respect to out-of-sample data. We investigate the link between this loss of accuracy and changes in the distribution of the underlying data from the estimation phase (in-sample) to the out-of-sample tests. We then model the norms of distributional changes with positive autoregressive processes in order to predict the loss of accuracy. Based on two different financial datasets, our empirical results show that our indicators have a strong explanatory power over realized portfolio returns.

Bibliographic Details

Guillaume Coqueret; Bertrand Tavin

Elsevier BV

Predictive Regressions; Panel Models; Error Decomposition; Out-of-Sample Accuracy; Distribution Shifts

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