Consistent inference for predictive regressions in persistent economic systems
type: Item
instance of: scholarly article
title: Consistent inference for predictive regressions in persistent economic systems
author: Torben G. Andersen
author: Rasmus T. Varneskov
published in: Journal of Econometrics
publication date: 2021-07-30T00:00:00Z
full work available at URL: w28568.pdf
Mathematics Subject Classification ID: 62-XX
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7376515
zbMATH Keywords: endogeneity bias
zbMATH Keywords: fractional integration
zbMATH Keywords: frequency domain inference
zbMATH Keywords: hypothesis testing
zbMATH Keywords: spurious inference
zbMATH Keywords: stochastic volatility
zbMATH Keywords: VAR models
MaRDI profile type: Publication
OpenAlex ID: W3105909582
cites work: The Distribution of Realized Exchange Rate Volatility
cites work: Modeling and Forecasting Realized Volatility
cites work: Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
cites work: Fractionally integrated generalized autoregressive conditional heteroskedasticity
cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
cites work: Uncertainty Shocks as Second-Moment News Shocks
cites work: Q3947020
cites work: Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
cites work: Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
cites work: Long memory in continuous-time stochastic volatility models
cites work: ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
cites work: Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
cites work: Local polynomial Whittle estimation of perturbed fractional processes
cites work: Q3692629
cites work: Spurious regressions in econometrics
cites work: Estimation of fractional integration in the presence of data noise
cites work: Generalizations of the KPSS‐test for stationarity
cites work: Testing for independence between two covariance stationary time series
cites work: Gaussian pseudo-maximum likelihood estimation of fractional time series models
cites work: Optimal Inference in Regression Models with Nearly Integrated Regressors
cites work: Likelihood inference for a fractionally cointegrated vector autoregressive model
cites work: Q3827437
cites work: Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
cites work: On the power of the KPSS test of stationarity against fractionally-integrated alternatives
cites work: A semiparametric two-step estimator in a multivariate long memory model
cites work: Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
cites work: MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
cites work: Long-Run Covariability
cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
cites work: Estimation and inference in nearly unbalanced nearly cointegrated systems
cites work: LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
cites work: Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
cites work: Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
cites work: Fully modified narrow‐band least squares estimation of weak fractional cointegration
cites work: A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
cites work: Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
cites work: Understanding spurious regressions in econometrics
cites work: Optimal Inference in Cointegrated Systems
cites work: On Confidence Intervals for Autoregressive Roots and Predictive Regression
cites work: Predictive regression under various degrees of persistence and robust long-horizon regression
cites work: Robust econometric inference with mixed integrated and mildly explosive regressors
cites work: Local Whittle estimation in nonstationary and unit root cases.
cites work: A Test Against Spurious Long Memory
cites work: Gaussian semiparametric estimation of long range dependence
cites work: Multiple local Whittle estimation in stationary systems
cites work: Time series regression with long-range dependence
cites work: Cointegration in Fractional Systems with Unknown Integration Orders
cites work: Semiparametric inference in multivariate fractionally cointegrated systems
cites work: Narrow-band analysis of nonstationary processes
cites work: A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES
cites work: Gaussian semiparametric estimation of multivariate fractionally integrated processes
cites work: EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
cites work: Exact local Whittle estimation of fractionally cointegrated systems
cites work: The spurious regression of fractionally integrated processes
cites work: ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
cites work: Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
cites work: Gaussian Semi‐parametric Estimation of Fractional Cointegration
DOI: 10.1016/J.JECONOM.2020.04.051
description: scientific article; zbMATH DE number 7376515