Residual-augmented IVX predictive regression

DOI10.1016/J.JECONOM.2020.11.007OpenAlexW3125249049MaRDI QIDQ2116346FDOQ2116346

Authors: Matei Demetrescu, Paulo M. M. Rodrigues 

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp201605.pdf

zbMATH Keywords

bias reductionpersistence changepersistencepredictability

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Modelling volatility by variance decomposition
• Predictive quantile regression with persistent covariates: IVX-QR approach
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Optimal Inference in Cointegrated Systems
• Efficient Tests for an Autoregressive Unit Root
• Unit Root Tests under Time-Varying Variances
• Differencing transformations and inference in predictive regression models
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Recursive mean adjustment for unit root tests
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares
• Inference in Autoregression under Heteroskedasticity
• Corrigendum to ``Testing predictive regression models with nonstationary regressors
• Averaging estimators for autoregressions with a near unit root
• Recursive mean adjustment in time-series inferences
• Enhancing the local power of IVX-based tests in predictive regressions
• Instrumental variable and variable addition based inference in predictive regressions
• Covariance-based orthogonality tests for regressors with unknown persistence
• Testing predictive regression models with nonstationary regressors
• What factors drive the price-rent ratio for the housing market? A modified present-value analysis
• Stochastic limit theory. An introduction for econometricians
• Finite-sample size control of IVX-based tests in predictive regressions

Cited In (4)

• A new robust inference for predictive quantile regression
• A Unified Inference for Predictive Quantile Regression
• Improved tests for stock return predictability
• Transformed regression-based long-horizon predictability tests

This page was built for publication: Residual-augmented IVX predictive regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116346)