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The current paper takes this as its starting point to develop a new panel\u2010based approach to predictability that is both robust and powerful. Specifically, while the panel route to increased power is not new, the way in which the cross\u2010section variation is exploited also to achieve robustness with respect to the predictor is. The result is two new tests that enable asymptotically standard normal and chi\u2010squared inference across a wide range of empirically relevant scenarios in which the predictor may be stationary, moderately non\u2010stationary, nearly non\u2010stationary, or indeed unit root non\u2010stationary. The type of cross\u2010section dependence that can be permitted in the predictor is also very general, and can be weak or strong, although we do require that the cross\u2010section dependence in the regression errors is of the strong form. What is more, this generality comes at no cost in terms of complicated test construction. The new tests are therefore very user\u2010friendly. Copyright \u00a9 2016 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2535","type":"journal-article","created":{"date-parts":[[2016,6,30]],"date-time":"2016-06-30T02:37:09Z","timestamp":1467254229000},"page":"554-574","source":"Crossref","is-referenced-by-count":34,"title":["Testing for Predictability in panels with General Predictors"],"prefix":"10.1002","volume":"32","author":[{"given":"Joakim","family":"Westerlund","sequence":"first","affiliation":[{"name":"Department of Economics Lund University  Sweden"},{"name":"Centre for Financial Econometrics Deakin University  Melbourne VIC Australia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Hande","family":"Karabiyik","sequence":"additional","affiliation":[{"name":"Department of Economics Lund University  Sweden"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Paresh","family":"Narayan","sequence":"additional","affiliation":[{"name":"Centre for Financial Econometrics Deakin University  Melbourne VIC Australia"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2016,6,29]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00629.x"},{"key":"e_1_2_8_3_1","doi-asserted-by":"crossref","unstructured":"AngA BekaertG.2001.Stock return predictability: is it there? 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