Robust inference with stochastic local unit root regressors in predictive regressions

Cites Work

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On Confidence Intervals for Autoregressive Roots and Predictive Regression
Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model
Predictive quantile regression with persistent covariates: IVX-QR approach
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS

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