Predictive regression under various degrees of persistence and robust long-horizon regression

DOI10.1016/j.jeconom.2013.04.011zbMath1288.62131MaRDI QIDQ2453084

Ji Hyung Lee, Peter C. B. Phillips

Publication date: 6 June 2014

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1828

zbMATH Keywords

endogeneity; robustness; asymptotic theory; predictive regression; instrumentation; IVX methods; mild integration; local power; balanced regression; mildly explosive

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F35: Robustness and adaptive procedures (parametric inference)

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