Transformed regression-based long-horizon predictability tests
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Publication:6090579
DOI10.1016/j.jeconom.2022.06.006OpenAlexW3173542257MaRDI QIDQ6090579
Matei Demetrescu, A. M. Robert Taylor, Paulo M. M. Rodrigues
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.2022.06.006
endogeneity(un)conditional heteroskedasticityIVX estimationunknown regressor persistencelong-horizon predictive regressionresidual augmentation
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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