Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach

DOI10.1080/07474938.2012.690663zbMath1491.62114OpenAlexW2118642859MaRDI QIDQ5080549

Mark E. Wohar, Alex Maynard, Aaron D. Smallwood

Publication date: 31 May 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2012.690663

zbMATH Keywords

long memoryforward rate unbiasednesspredictive regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Spurious regression between long memory series due to mis-specified structural breaks ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ Estimation of long-run parameters in unbalanced cointegration ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Robust inference for predictability in smooth transition predictive regressions ⋮ Market integration, systemic risk and diagnostic tests in large mixed panels

Cites Work

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