{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,18]],"date-time":"2026-08-18T15:26:49Z","timestamp":1787066809371,"version":"build-2736575974"},"reference-count":29,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2011,11,23]],"date-time":"2011-11-23T00:00:00Z","timestamp":1322006400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2013,4]]},"abstract":"<jats:title>SUMMARY<\/jats:title>\n                  <jats:p>Long\u2010horizon predictive regressions in finance pose formidable econometric problems when estimated using available sample sizes. Hodrick in 1992 proposed a remedy that is based on running a reverse regression of short\u2010horizon returns on the long\u2010run mean of the predictor. Unfortunately, this only allows the null of no predictability to be tested, and assumes stationary regressors. In this paper, we revisit long\u2010horizon forecasting from reverse regressions, and argue that reverse regression methods avoid serious size distortions in long\u2010horizon predictive regressions, even when there is some predictability and\/or near unit roots. Meanwhile, the reverse regression methodology has the practical advantage of being easily applicable when there are many predictors. We apply these methods to forecasting excess bond returns using the term structure of forward rates, and find that there is indeed some return forecastability. However, confidence intervals for the coefficients of the predictive regressions are about twice as wide as those obtained with the conventional approach to inference. We also include an application to forecasting excess stock returns. Copyright \u00a9 2011 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1274","type":"journal-article","created":{"date-parts":[[2011,11,24]],"date-time":"2011-11-24T00:46:37Z","timestamp":1322095597000},"page":"353-371","source":"Crossref","is-referenced-by-count":53,"title":["REVERSE REGRESSIONS AND LONG\u2010HORIZON FORECASTING"],"prefix":"10.1002","volume":"28","author":[{"given":"Min","family":"Wei","sequence":"first","affiliation":[{"name":"Division of Monetary Affairs Federal Reserve Board  Washington DC USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jonathan H.","family":"Wright","sequence":"additional","affiliation":[{"name":"Department of Economics Johns Hopkins University  Baltimore MD USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2011,11,23]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl021"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00371"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00007-X"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(01)00075-7"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00260"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00037-8"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2298008"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.05.008"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1257\/0002828053828581"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600008720"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171846"},{"key":"e_1_2_10_13_1","first-page":"680","article-title":"The information in long\u2010maturity forward rates","volume":"77","author":"Fama EF","year":"1987","journal-title":"The American Economic Review"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04732.x"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2007.06.029"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1086\/260910"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.3.351"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466605050565"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913610"},{"key":"e_1_2_10_20_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/74.3.535"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2006.00398.x"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(89)90086-X"},{"key":"e_1_2_10_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0020-6598.2005.00310.x"},{"key":"e_1_2_10_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2007.00222.x"},{"key":"e_1_2_10_25_1","unstructured":"SackB.2006.Comment on \u2018Can central banks target bond prices?\u2019 InMonetary Policy in an Environment of Low Inflation: Proceedings of the Bank of Korea International Conference 2006 Bank of Korea Seoul Korea."},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00041-0"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(91)90034-L"},{"key":"e_1_2_10_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1996.mp58004006.x"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/422634"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(03)00065-5"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.1274","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.1274","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,29]],"date-time":"2023-10-29T23:38:19Z","timestamp":1698622699000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.1274"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,11,23]]},"references-count":29,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2013,4]]}},"alternative-id":["10.1002\/jae.1274"],"URL":"https:\/\/doi.org\/10.1002\/jae.1274","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,11,23]]}}}