Optimal Inference in Regression Models with Nearly Integrated Regressors
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- scientific article; zbMATH DE number 1911811
- Regression Theory for Near-Integrated Time Series
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(62)- Statistical inference in regression with heavy-tailed integrated variables
- A perspective on recent methods on testing predictability of asset returns
- Portmanteau-type tests for unit-root and cointegration
- Testing for parameter instability in predictive regression models
- Simple tests for stock return predictability with good size and power properties
- Consistent inference for predictive regressions in persistent economic systems
- Portmanteau-type test for unit root with heavy-tailed noise
- Testing for parameter instability and structural change in persistent predictive regressions
- Testing for episodic predictability in stock returns
- Semiparametric testing with highly persistent predictors
- Residual-augmented IVX predictive regression
- Regression discontinuity designs, white noise models, and minimax
- Nonparametric predictive regression
- Low-frequency robust cointegration testing
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Predictive regressions for macroeconomic data
- A new robust inference for predictive quantile regression
- Robust econometric inference with mixed integrated and mildly explosive regressors
- On the asymptotic distribution of the Dickey Fuller-GLS test statistic
- ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
- Differencing transformations and inference in predictive regression models
- Covariance-based orthogonality tests for regressors with unknown persistence
- Optimal Inference in a Class of Regression Models
- scientific article; zbMATH DE number 1911811 (Why is no real title available?)
- OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS
- Enhancing the local power of IVX-based tests in predictive regressions
- Instrumental variable and variable addition based inference in predictive regressions
- Finite-sample size control of IVX-based tests in predictive regressions
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- Empirical likelihood-based unified confidence region for a predictive regression model
- Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
- Testing the predictability of U.S. housing price index returns based on an IVX-AR model
- Tests for \(m\)-dependence based on sample splitting methods
- Bias reduction and likelihood-based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood
- Expectations hypotheses tests at Long Horizons
- Expectations hypotheses tests at Long Horizons
- Equity issues and aggregate market returns under information asymmetry
- Efficient Estimation of Optimal Regimes Under a No Direct Effect Assumption
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- Robust inference for predictability in smooth transition predictive regressions
- Robust block bootstrap panel predictability tests
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Latent local-to-unity models
- Improved tests for stock return predictability
- Penetrating sporadic return predictability
- Extensions to IVX methods of inference for return predictability
- Taking stock of long-horizon predictability tests: are factor returns predictable?
- A nonparametric predictive regression model using partitioning estimators based on Taylor expansions
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
- Weighted nonlinear regression with nonstationary time series
- Semiparametrically optimal cointegration test
- Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
- Unified Tests for a Dynamic Predictive Regression
- Bonferroni Type Tests for Return Predictability and the Initial Condition
- A Bootstrap Stationarity Test for Predictive Regression Invalidity
- Inference in predictive quantile regressions
- Regime-specific exchange rate predictability
- Predictive quantile regressions with persistent and heteroskedastic predictors: a powerful 2SLS testing approach
- Uniform inference for cointegrated vector autoregressive processes
- A class of simple distribution-free rank-based unit root tests
- A control function approach for testing the usefulness of trending variables in forecast models and linear regression
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