TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS
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Publication:3453246
DOI10.1017/S0266466614000590zbMath1441.62622OpenAlexW1972560541MaRDI QIDQ3453246
Yunfei Wang, Yong-Gang Wang, Zong-Wu Cai
Publication date: 20 November 2015
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466614000590
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
Related Items (8)
A perspective on recent methods on testing predictability of asset returns ⋮ Testing heteroskedasticity for predictive regressions with nonstationary regressors ⋮ A non‐parametric test for multi‐variate trend functions ⋮ Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates ⋮ Time-varying predictability of the long horizon equity premium based on semiparametric regressions ⋮ A unified test for predictability of asset returns regardless of properties of predicting variables ⋮ Testing for parameter instability in predictive regression models ⋮ A model-free consistent test for structural change in regression possibly with endogeneity
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- Functional-coefficient cointegration models
- Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
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