{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,8]],"date-time":"2026-04-08T01:03:13Z","timestamp":1775610193875,"version":"3.50.1"},"reference-count":33,"publisher":"MDPI AG","issue":"11","license":[{"start":{"date-parts":[[2022,11,2]],"date-time":"2022-11-02T00:00:00Z","timestamp":1667347200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"NNSF of China","award":["11971208"],"award-info":[{"award-number":["11971208"]}]},{"name":"NNSF of China","award":["11601197"],"award-info":[{"award-number":["11601197"]}]},{"name":"NNSF of China","award":["21BTJ035"],"award-info":[{"award-number":["21BTJ035"]}]},{"name":"NNSF of China","award":["21&ZD152"],"award-info":[{"award-number":["21&ZD152"]}]},{"name":"NNSF of China","award":["20220929165358818"],"award-info":[{"award-number":["20220929165358818"]}]},{"name":"NSSF of China","award":["11971208"],"award-info":[{"award-number":["11971208"]}]},{"name":"NSSF of China","award":["11601197"],"award-info":[{"award-number":["11601197"]}]},{"name":"NSSF of China","award":["21BTJ035"],"award-info":[{"award-number":["21BTJ035"]}]},{"name":"NSSF of China","award":["21&ZD152"],"award-info":[{"award-number":["21&ZD152"]}]},{"name":"NSSF of China","award":["20220929165358818"],"award-info":[{"award-number":["20220929165358818"]}]},{"name":"National Major Social Science Project of China","award":["11971208"],"award-info":[{"award-number":["11971208"]}]},{"name":"National Major Social Science Project of China","award":["11601197"],"award-info":[{"award-number":["11601197"]}]},{"name":"National Major Social Science Project of China","award":["21BTJ035"],"award-info":[{"award-number":["21BTJ035"]}]},{"name":"National Major Social Science Project of China","award":["21&ZD152"],"award-info":[{"award-number":["21&ZD152"]}]},{"name":"National Major Social Science Project of China","award":["20220929165358818"],"award-info":[{"award-number":["20220929165358818"]}]},{"DOI":"10.13039\/501100004868","name":"Jiangxi University of Finance and Economics","doi-asserted-by":"publisher","award":["11971208"],"award-info":[{"award-number":["11971208"]}],"id":[{"id":"10.13039\/501100004868","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004868","name":"Jiangxi University of Finance and Economics","doi-asserted-by":"publisher","award":["11601197"],"award-info":[{"award-number":["11601197"]}],"id":[{"id":"10.13039\/501100004868","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004868","name":"Jiangxi University of Finance and Economics","doi-asserted-by":"publisher","award":["21BTJ035"],"award-info":[{"award-number":["21BTJ035"]}],"id":[{"id":"10.13039\/501100004868","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004868","name":"Jiangxi University of Finance and Economics","doi-asserted-by":"publisher","award":["21&ZD152"],"award-info":[{"award-number":["21&ZD152"]}],"id":[{"id":"10.13039\/501100004868","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004868","name":"Jiangxi University of Finance and Economics","doi-asserted-by":"publisher","award":["20220929165358818"],"award-info":[{"award-number":["20220929165358818"]}],"id":[{"id":"10.13039\/501100004868","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Entropy"],"abstract":"<jats:p>Testing predictability is known to be an important issue for the balanced predictive regression model. Some unified testing statistics of desirable properties have been proposed, though their validity depends on a predefined assumption regarding whether or not an intercept term nevertheless exists. In fact, most financial data have endogenous or heteroscedasticity structure, and the existing intercept term test does not perform well in these cases. In this paper, we consider the testing for the intercept of the balanced predictive regression model. An empirical likelihood based testing statistic is developed, and its limit distribution is also derived under some mild conditions. We also provide some simulations and a real application to illustrate its merits in terms of both size and power properties.<\/jats:p>","DOI":"10.3390\/e24111594","type":"journal-article","created":{"date-parts":[[2022,11,3]],"date-time":"2022-11-03T03:11:21Z","timestamp":1667445081000},"page":"1594","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Testing the Intercept of a Balanced Predictive Regression Model"],"prefix":"10.3390","volume":"24","author":[{"given":"Qijun","family":"Wang","sequence":"first","affiliation":[{"name":"School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China"},{"name":"Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang 330013, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xiaohui","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China"},{"name":"Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang 330013, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yawen","family":"Fan","sequence":"additional","affiliation":[{"name":"School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China"},{"name":"Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang 330013, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-9331-0304","authenticated-orcid":false,"given":"Ling","family":"Peng","sequence":"additional","affiliation":[{"name":"School of Statistics, Jiangxi University of Finance and Economics, Nanchang 330013, China"},{"name":"Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang 330013, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2022,11,2]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/S1386-4181(01)00024-6","article-title":"Illiquidity and stock returns cross-section and time-series effects","volume":"5","author":"Amihud","year":"2002","journal-title":"J. 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