A robust test for predictability with unknown persistence

DOI10.1016/j.econlet.2020.109028zbMath1439.62203OpenAlexW2976938983MaRDI QIDQ2179772

Guannan Liu, Shuang Yao

Publication date: 13 May 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109028

zbMATH Keywords

stationary processasymptotic theoryintegrated processreturn predictabilitykernel covariance estimationnearly integrated process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Nonparametric robustness (62G35) Stationary stochastic processes (60G10)

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