A new robust inference for predictive quantile regression
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Cites work
- A control function approach for testing the usefulness of trending variables in forecast models and linear regression
- A perspective on recent methods on testing predictability of asset returns
- A reexamination of stock return predictability
- A unified test for predictability of asset returns regardless of properties of predicting variables
- Evaluating value-at-risk models via quantile regression
- Finite-sample size control of IVX-based tests in predictive regressions
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- Instrumental variable and variable addition based inference in predictive regressions
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Making wald tests work for cointegrated VAR systems
- Nonparametric quantile estimations for dynamic smooth coefficient models
- Optimal estimation of cointegrated systems with irrelevant instruments
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Persistence-robust surplus-lag Granger causality testing
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Predictive regressions for macroeconomic data
- Quantile cointegrating regression
- Quantile regression.
- Residual-augmented IVX predictive regression
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Statistical inference in vector autoregressions with possibly integrated processes
- Testing for multiple bubbles: limit theory of real-time detectors
- Testing predictive regression models with nonstationary regressors
- Testing the predictability of U.S. housing price index returns based on an IVX-AR model
- Towards a unified asymptotic theory for autoregression
Cited in
(7)- Quantile regression for robust bank efficiency score estimation
- Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
- Penetrating sporadic return predictability
- Inference in predictive quantile regressions
- Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach
- Predictive quantile regressions with persistent and heteroskedastic predictors: a powerful 2SLS testing approach
- LASSO inference for high dimensional predictive regressions
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