Extensions to IVX methods of inference for return predictability
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Publication:6090572
DOI10.1016/j.jeconom.2022.02.007OpenAlexW3158512888MaRDI QIDQ6090572
Iliyan Georgiev, Paulo M. M. Rodrigues, A. M. Robert Taylor, Matei Demetrescu
Publication date: 17 November 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.02.007
endogeneity(un)conditional heteroskedasticitypredictive regressionIVX estimationresidual wild bootstrapsubsample testsunknown regressor persistence
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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