A new Portmanteau test for predictive regression models with possible embedded endogeneity

DOI10.1111/JTSA.12745MaRDI QIDQ6636850

Yao Rao, Huimin Ao, Xiao Hui Liu, Ya-wen Fan

Publication date: 12 November 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

serial correlationjackknife empirical likelihoodembedded endogeneitypredictive regression model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Economic time series analysis (91B84) Inference from stochastic processes (62Mxx)

Cites Work

• Empirical likelihood ratio confidence regions
• Empirical likelihood and general estimating equations
• Jackknife empirical likelihood method for multiply robust estimation with missing data
• A unified test for predictability of asset returns regardless of properties of predicting variables
• Testing for episodic predictability in stock returns
• Testing predictive regression models with nonstationary regressors
• Empirical likelihood
• PORTMANTEAU AUTOCORRELATION TESTS UNDER Q -DEPENDENCE AND HETEROSKEDASTICITY
• Towards a unified asymptotic theory for autoregression
• On a measure of lack of fit in time series models
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• Bayesian jackknife empirical likelihood
• Jackknife Empirical Likelihood
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Extensions to IVX methods of inference for return predictability

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