Uniform Test for Predictive Regression With AR Errors

DOI10.1080/07350015.2015.1052460zbMATH Open1546.62976MaRDI QIDQ6616595

Deyuan Li, Chenxue Li, Liang Peng

Publication date: 9 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Nonparametric transfer function models
• Empirical likelihood and general estimating equations
• Inference for unstable long-memory processes with applications to fractional unit root autoregressions
• Predictive regressions for macroeconomic data
• Testing predictive regression models with nonstationary regressors
• EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES
• UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
• Reduce computation in profile empirical likelihood method
• More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
• Data Tilting for Time Series
• Long-Memory Errors in Time Series Regressions with a Unit Root
• Jackknife Empirical Likelihood
• BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD

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