Nonparametric testing for long-horizon predictability with persistent covariates
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Cites work
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- A bootstrap theory for weakly integrated processes
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
- Asymptotics for linear processes
- Covariance-based orthogonality tests for regressors with unknown persistence
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Sieve bootstrap for smoothing in nonstationary time series
- Tests for \(m\)-dependence based on sample splitting methods
- Time series properties of ARCH processes with persistent covariates
Cited in
(14)- Covariance-based orthogonality tests for regressors with unknown persistence
- Size and power in tests of return predictability
- Measuring uncertainty about long-run predictions
- Expectations hypotheses tests at Long Horizons
- A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
- Nonparametric predictive regression
- Secular mean reversion and long-run predictability of the stock market
- Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
- A nonparametric approach to test for predictability
- Nonparametric long term prediction of stock returns with generated bond yields
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Assessing the power of long-horizon predictive tests in models of bull and bear markets
- Nonparametric prediction of stock returns based on yearly data: the long-term view
- Time-varying predictability of the long horizon equity premium based on semiparametric regressions
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