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Transformed regression-based long-horizon predictability tests - MaRDI portal

Transformed regression-based long-horizon predictability tests (Q6090579)

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scientific article; zbMATH DE number 7767726
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Transformed regression-based long-horizon predictability tests
scientific article; zbMATH DE number 7767726

    Statements

    title
    Transformed regression-based long-horizon predictability tests (English)
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    author
    Matei Demetrescu
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    Paulo M. M. Rodrigues
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    A. M. Robert Taylor
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    publication date
    17 November 2023
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    zbMATH Keywords
    long-horizon predictive regression
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    IVX estimation
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    (un)conditional heteroskedasticity
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    unknown regressor persistence
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    endogeneity
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    residual augmentation
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    cites work

    Identifiers

    zbMATH DE Number
    7767726
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    OpenAlex ID
    W3173542257
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