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The \n\u2010statistic\u2014formed using the correct asymptotic variance\u2014together with standard\u2010normal critical values result in a correctly\u2010sized test for exogenous predictors. For endogenous predictors, the test is size distorted regardless of the persistence in the predictor and adjusted critical values are necessary. The endogeneity problem stems from the long\u2010run estimation and is distinct from the ordinary persistence\u2010dependent \u201cStambaugh\u201d\u00a0bias. The bias for fully stationary predictors appears not to have been previously noted and adds further difficulty to inference in long\u2010run predictive regressions.<\/jats:p>","DOI":"10.1002\/jae.2930","type":"journal-article","created":{"date-parts":[[2022,8,19]],"date-time":"2022-08-19T05:24:05Z","timestamp":1660886645000},"page":"1334-1355","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Long\u2010run predictability tests are even worse than you thought"],"prefix":"10.1002","volume":"37","author":[{"given":"Erik","family":"Hjalmarsson","sequence":"first","affiliation":[{"name":"Department of Economics and the Centre for Finance University of Gothenburg  Gothenburg Sweden"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tamas","family":"Kiss","sequence":"additional","affiliation":[{"name":"School of Business \u00d6rebro University  \u00d6rebro Sweden"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2022,9,29]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl021"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2007.11.003"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2018.09.008"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/0015198X.2018.1547056"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl042"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-5957.2011.02244.x"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-5398(01)00037-8"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1988.tb04598.x"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.05.008"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2022.02.007"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90020-7"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1086\/261535"},{"key":"e_1_2_11_14_1","unstructured":"Gourieroux C. &Jasiak J.(2020). 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Magdalinos T. &Stamatogiannis M.P.(2020).Taking stock of long\u2010horizon predictability tests: Are factor returns predictable?Working Paper University of Liverpool."},{"key":"e_1_2_11_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00002-0"},{"key":"e_1_2_11_25_1","doi-asserted-by":"crossref","unstructured":"Maynard A. &Ren D.(2014).Assessing the power of long\u2010horizon predictive tests in models of bull and bear markets.\u00a0(Chang Yoosoon Fomby Thomas B. &Park Joon Y. \u00a0Eds.) pp.673\u2013711.","DOI":"10.1108\/S0731-905320140000033019"},{"key":"e_1_2_11_26_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2016.10.006"},{"key":"e_1_2_11_27_1","unstructured":"McLoughlin J.(2019).Why neither dividend\u2010growth nor long\u2010horizon regressions provide stronger evidence of return predictability. 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