Bonferroni Type Tests for Return Predictability and the Initial Condition
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Publication:6626219
DOI10.1080/07350015.2023.2201313zbMATH Open1547.62603MaRDI QIDQ6626219
A. M. Robert Taylor, Stephen J. Leybourne, Sam Astill, David I. Harvey
Publication date: 28 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- Minimizing the impact of the initial condition on testing for unit roots
- Instrumental variable and variable addition based inference in predictive regressions
- Simple tests for stock return predictability with good size and power properties
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
- Efficient Tests for an Autoregressive Unit Root
- Tests for Unit Roots and the Initial Condition
- On testing for unit roots and the initial observation
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