Instrumental variable and variable addition based inference in predictive regressions (Q494409): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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+E20
@@ Property / Mathematics Subject Classification ID: 62E20 / rank @@
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+G70
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+6477255
@@ Property / zbMATH DE Number: 6477255 / rank @@
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+causality test
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+persistence
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+integration
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+long memory
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+IV estimation
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+https://doi.org/10.1016/j.jeconom.2013.10.018
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+W2128711159
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@@ Property / cites work @@
+Persistence-robust surplus-lag Granger causality testing
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@@ Property / cites work @@
+Unit Root Tests under Time-Varying Variances
@@ Property / cites work: Unit Root Tests under Time-Varying Variances / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for co-integration in vector autoregressions with non-stationary volatility
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@@ Property / cites work @@
+Stochastic Limit Theory
@@ Property / cites work: Stochastic Limit Theory / rank @@
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@@ Property / cites work @@
+Making wald tests work for cointegrated VAR systems
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@@ Property / cites work @@
+ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
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@@ Property / cites work @@
+Optimal Inference in Regression Models with Nearly Integrated Regressors
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@@ Property / cites work @@
+Statistical analysis of the fractional Ornstein--Uhlenbeck type process
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@@ Property / cites work @@
+LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
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@@ Property / cites work @@
+COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE
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@@ Property / cites work @@
+Towards a unified asymptotic theory for autoregression
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@@ Property / cites work @@
+New Tools for Understanding Spurious Regressions
@@ Property / cites work: New Tools for Understanding Spurious Regressions / rank @@
+Normal rank
@@ Property / cites work @@
+Multiple Time Series Regression with Integrated Processes
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@@ Property / cites work @@
+Limit theory for moderate deviations from a unit root
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@@ Property / cites work @@
+Asymptotics for linear processes
@@ Property / cites work: Asymptotics for linear processes / rank @@
+Normal rank
@@ Property / cites work @@
+Inference in Linear Time Series Models with some Unit Roots
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@@ Property / cites work @@
+CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS  TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
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@@ Property / cites work @@
+Statistical inference in vector autoregressions with possibly integrated processes
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@@ links / mardi / name / links / mardi / name @@
+Publication:494409