DIFFERENCING TRANSFORMATIONS AND INFERENCE IN PREDICTIVE REGRESSION MODELS
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Publication:3465606
DOI10.1017/S0266466614000723zbMath1441.62625OpenAlexW3122892140MaRDI QIDQ3465606
Publication date: 22 January 2016
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466614000723
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05)
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FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS ⋮ Residual-augmented IVX predictive regression
Cites Work
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Limit theory for moderate deviations from a unit root
- Asymptotics for linear processes
- Subsampling
- UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Uniform Limit Theory for Stationary Autoregression
- Towards a unified asymptotic theory for autoregression
- X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
- Uniform Inference in Autoregressive Models
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