Predictive regressions for macroeconomic data

DOI10.1214/13-AOAS708zbMath1454.62494arXiv1404.7642MaRDI QIDQ2453692

Fukang Zhu, Liang Peng, Zong-Wu Cai

Publication date: 10 June 2014

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.7642

zbMATH Keywords

unit rootempirical likelihoodlong memory processautoregressive processweighted estimationnearly integratedpredictive regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (9)

TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS ⋮ A perspective on recent methods on testing predictability of asset returns ⋮ Empirical likelihood-based unified confidence region for a predictive regression model ⋮ A unit root test for an AR(1) process with AR errors by using random weighted bootstrap ⋮ A new robust inference for predictive quantile regression ⋮ A new test of asset return predictability with an unstable predictor ⋮ Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model ⋮ A unified test for predictability of asset returns regardless of properties of predicting variables ⋮ Statistical inferences in a partially linear model with autoregressive errors

Uses Software

• emplik

Cites Work

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• Empirical likelihood ratio confidence regions
• On asymptotic properties of bootstrap for AR(1) processes
• Testing predictive regression models with nonstationary regressors
• TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Empirical likelihood ratio confidence intervals for a single functional
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD

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