Predictive regression under various degrees of persistence and robust long-horizon regression
From MaRDI portal
Publication:2453084
DOI10.1016/J.JECONOM.2013.04.011zbMATH Open1288.62131OpenAlexW2116495893MaRDI QIDQ2453084FDOQ2453084
Authors: Peter C. B. Phillips, Ji Hyung Lee 
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
Recommendations
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- Transformed regression-based long-horizon predictability tests
- Robust inference for predictability in smooth transition predictive regressions
- THE STATISTICS OF LONG‐HORIZON REGRESSIONS REVISITED1
- Robust estimators in nonlinear regression models with long-range dependence
- scientific article; zbMATH DE number 1944318
- Nonparametric testing for long-horizon predictability with persistent covariates
- Publication:4727201
- Robust regressive forecasting under functional distortions in a model
endogeneityasymptotic theoryrobustnessinstrumentationIVX methodsmild integrationpredictive regressionlocal powerbalanced regressionmildly explosive
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)
Cites Work
- Asymptotics for linear processes
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Common risk factors in the returns on stocks and bonds
- Asymptotic inference for nearly nonstationary AR(1) processes
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Limit theory for moderate deviations from a unit root
- Towards a unified asymptotic theory for autoregression
- Efficient Tests for an Autoregressive Unit Root
- NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Dating the timeline of financial bubbles during the subprime crisis
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- A control function approach for testing the usefulness of trending variables in forecast models and linear regression
- Nonparametric predictive regression
- A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
Cited In (44)
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Covariance-based orthogonality tests for regressors with unknown persistence
- 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
- Residual-augmented IVX predictive regression
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Time stable empirical best predictors under a unit-level model
- Weighted nonlinear regression with nonstationary time series
- 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
- Bias reduction and likelihood-based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood
- Testing for parameter instability and structural change in persistent predictive regressions
- Robust estimation and inference for threshold models with integrated regressors
- Differencing transformations and inference in predictive regression models
- 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
- On LASSO for predictive regression
- Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
- 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
- Testing instability in a predictive regression model with nonstationary regressors
- Nonparametric inference for quantile cointegrations with stationary covariates
- Enhancing the local power of IVX-based tests in predictive regressions
- 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
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Transformed regression-based long-horizon predictability tests
- High-dimensional predictive regression in the presence of cointegration
- A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
- Robust inference with stochastic local unit root regressors in predictive regressions
- A unified test for predictability of asset returns regardless of properties of predicting variables
This page was built for publication: Predictive regression under various degrees of persistence and robust long-horizon regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2453084)
