COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE

DOI10.1017/S0266466608090038zbMath1231.62085MaRDI QIDQ3551017

Katsumi Shimotsu, Alex Maynard

Publication date: 8 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Asymptotic behavior of cross spectral density estimator at the zero frequency in the presence of degeneracy, Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach, A robust test for predictability with unknown persistence, Extensions to IVX methods of inference for return predictability, Transformed regression-based long-horizon predictability tests, Instrumental variable and variable addition based inference in predictive regressions, NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY, Nonparametric testing for long-horizon predictability with persistent covariates, FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS, Residual-augmented IVX predictive regression

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Nonlinearity, nonstationarity, and spurious forecasts
• Asymptotics for linear processes
• Statistical inference in vector autoregressions with possibly integrated processes
• Challenges of trending time series econometrics
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Trends and Random Walks in Macroeconomic Time Series: A Re-Examination
• Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Martingale Central Limit Theorems