Predictive regression under various degrees of persistence and robust long-horizon regression
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Cites work
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- Common risk factors in the returns on stocks and bonds
- Dating the timeline of financial bubbles during the subprime crisis
- Efficient Tests for an Autoregressive Unit Root
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- Limit theory for moderate deviations from a unit root
- NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
- Nonparametric predictive regression
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Towards a unified asymptotic theory for autoregression
Cited in
(44)- A unified test for predictability of asset returns regardless of properties of predicting variables
- Robust inference with stochastic local unit root regressors in predictive regressions
- Covariance-based orthogonality tests for regressors with unknown persistence
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- A new robust inference for predictive quantile regression
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- Unified Tests for a Dynamic Predictive Regression
- Finite-sample size control of IVX-based tests in predictive regressions
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- Time stable empirical best predictors under a unit-level model
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- A weighted sieve estimator for nonparametric time series models with nonstationary variables
- Solving Euler equations via two-stage nonparametric penalized splines
- A perspective on recent methods on testing predictability of asset returns
- Functional index coefficient models with variable selection
- Nonparametric predictive regression
- Testing for parameter instability and structural change in persistent predictive regressions
- Robust estimation and inference for threshold models with integrated regressors
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- Differencing transformations and inference in predictive regression models
- On LASSO for predictive regression
- 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
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- Consistent inference for predictive regressions in persistent economic systems
- Testing for episodic predictability in stock returns
- Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
- Testing instability in a predictive regression model with nonstationary regressors
- Enhancing the local power of IVX-based tests in predictive regressions
- Nonparametric inference for quantile cointegrations with stationary covariates
- Moments in Pearson's four-step uniform random walk problem and other applications of very well-poised generalized hypergeometric series
- Extensions to IVX methods of inference for return predictability
- Penetrating sporadic return predictability
- Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- Assessing the power of long-horizon predictive tests in models of bull and bear markets
- A robust test for predictability with unknown persistence
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Robust inference for predictability in smooth transition predictive regressions
- High-dimensional predictive regression in the presence of cointegration
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Transformed regression-based long-horizon predictability tests
- A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
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