A robust test for predictability with unknown persistence (Q2179772): Difference between revisions

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+https://doi.org/10.1016/j.econlet.2020.109028
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+W2976938983
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Hybrid and Size-Corrected Subsampling Methods
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+Testing predictive regression models with nonstationary regressors
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+A simple, robust and powerful test of the trend hypothesis
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+A unified test for predictability of asset returns regardless of properties of predicting variables
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+COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE
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+Predictive regression under various degrees of persistence and robust long-horizon regression
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