A new test of asset return predictability with an unstable predictor (Q2209589): Difference between revisions
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| Property / cites work: Asymptotic inference for nearly nonstationary AR(1) processes / rank | |||
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| Property / cites work: Predictive regressions for macroeconomic data / rank | |||
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Latest revision as of 00:14, 24 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new test of asset return predictability with an unstable predictor |
scientific article |
Statements
A new test of asset return predictability with an unstable predictor (English)
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4 November 2020
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autoregressive process
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empirical likelihood
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level shift
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local-to-unity
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weighted estimation
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