Robust inference for predictability in smooth transition predictive regressions

DOI10.1080/07474938.2016.1222233zbMath1490.62256OpenAlexW2513363685MaRDI QIDQ5860894

Rehim Kiliç

Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2016.1222233

zbMATH Keywords

nonlinearitystock return predictabilitysmooth transition predictive regression modelsup tests

Mathematics Subject Classification ID

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) Parametric hypothesis testing (62F03)

Related Items (1)

Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions

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