Nonlinearity, nonstationarity, and spurious forecasts

DOI10.1016/j.jeconom.2007.03.002zbMath1418.62514OpenAlexW2037449179MaRDI QIDQ290934

Vadim Marmer

Publication date: 3 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.03.002

zbMATH Keywords

nonlinear transformationsforecastingstock returnsmisspecified modelsintegrated time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (14)

NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION ⋮ ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS ⋮ MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION ⋮ Specification testing for nonlinear multivariate cointegrating regressions ⋮ Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach ⋮ A specification test for nonlinear nonstationary models ⋮ Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression ⋮ COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE ⋮ Dynamic misspecification in nonparametric cointegrating regression ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS ⋮ The Bierens test for certain nonstationary models ⋮ NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY ⋮ Nonstationary nonlinear quantile regression ⋮ Nonparametric predictive regression

Cites Work

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• Nonstationary discrete choice
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• A Reality Check for Data Snooping
• Nonlinear Regressions with Integrated Time Series
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

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