Testing predictive regression models with nonstationary regressors

DOI10.1016/j.jeconom.2013.08.002zbMath1293.62178OpenAlexW2045581491MaRDI QIDQ2512593

Yunfei Wang, Zong-Wu Cai

Publication date: 7 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.002

zbMATH Keywords

endogeneityunit rootpredictive regressionmisspecification testnearly integrated process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items (16)

RR-plot: a descriptive tool for regression observations ⋮ 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 ⋮ Testing heteroskedasticity for predictive regressions with nonstationary regressors ⋮ A robust test for predictability with unknown persistence ⋮ Functional index coefficient models with variable selection ⋮ Transformed regression-based long-horizon predictability tests ⋮ A new robust inference for predictive quantile regression ⋮ Corrigendum to ``Testing predictive regression models with nonstationary regressors ⋮ Predictive regressions for macroeconomic data ⋮ Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model ⋮ The scale of predictability ⋮ A unified test for predictability of asset returns regardless of properties of predicting variables ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Residual-augmented IVX predictive regression

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