Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model

DOI10.1080/01621459.2019.1686392zbMath1452.62967OpenAlexW2986385984WikidataQ126867046 ScholiaQ126867046MaRDI QIDQ5146012

Wei Long, Bingduo Yang, Zong-Wu Cai, Liang Peng

Publication date: 22 January 2021

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2019.1686392

zbMATH Keywords

hypothesis teststock return predictabilityserially correlated errorspredictive regression model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

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