Differencing transformations and inference in predictive regression models

DOI10.1017/S0266466614000723MaRDI QIDQ3465606zbMATH OpenOpenAlexFDO

Authors Lorenzo Camponovo

Publication date 22 January 2016

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466614000723

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Robust inference for predictability in smooth transition predictive regressions
• Nonparametric predictive regression
• A robust test for predictability with unknown persistence
• Instrumental variable and variable addition based inference in predictive regressions
• Predictive regression under various degrees of persistence and robust long-horizon regression

Cites work

• Asymptotics for linear processes
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Limit theory for moderate deviations from a unit root
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Subsampling
• Towards a unified asymptotic theory for autoregression
• Uniform asymptotic normality in stationary and unit root autoregression
• Uniform Inference in Autoregressive Models
• Uniform Limit Theory for Stationary Autoregression
• X-differencing and dynamic panel model estimation

Cited in

(8)

• Residual-augmented IVX predictive regression
• Testing predictive regression models with nonstationary regressors
• Model-free prediction and regression. A transformation-based approach to inference
• Transforming the Dependent Variable in Regression Models
• scientific article; zbMATH DE number 42417 (Why is no real title available?)
• scientific article; zbMATH DE number 1989743 (Why is no real title available?)
• Finite-sample size control of IVX-based tests in predictive regressions
• Robust inference for predictability in smooth transition predictive regressions

This page was built for publication: Differencing transformations and inference in predictive regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3465606)