Consistent inference for predictive regressions in persistent economic systems

DOI10.1016/j.jeconom.2020.04.051OpenAlexW3105909582MaRDI QIDQ2043266

Torben G. Andersen, Rasmus T. Varneskov

Publication date: 30 July 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w28568.pdf

zbMATH Keywords

hypothesis testingstochastic volatilityfractional integrationspurious inferenceVAR modelsendogeneity biasfrequency domain inference

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items

SPECTRAL FINANCIAL ECONOMETRICS, CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS, Penetrating sporadic return predictability, Extensions to IVX methods of inference for return predictability, Transformed regression-based long-horizon predictability tests, Testing for parameter instability and structural change in persistent predictive regressions

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