Efficient Prediction of Excess Returns
---- Acknowledgements -----
We thank Frank Diebold, Graham Elliott, Art Goldberger, Atsushi Inoue, Shinichi Sakata and Jim Stock for helpful comments. All remaining errors are our own. The views expressed in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System, any other employee of the Federal Reserve System, or the National Bureau of Economic Research.