Transformed regression-based long-horizon predictability tests (Q6090579)
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scientific article; zbMATH DE number 7767726
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| English | Transformed regression-based long-horizon predictability tests |
scientific article; zbMATH DE number 7767726 |
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Transformed regression-based long-horizon predictability tests (English)
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17 November 2023
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long-horizon predictive regression
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IVX estimation
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(un)conditional heteroskedasticity
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unknown regressor persistence
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endogeneity
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residual augmentation
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