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

DOI10.1016/j.jeconom.2013.04.011zbMath1288.62131OpenAlexW2116495893MaRDI 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

endogeneityrobustnessasymptotic theorypredictive regressioninstrumentationIVX methodsmild integrationlocal powerbalanced regressionmildly explosive

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (32)

Robust econometric inference with mixed integrated and mildly explosive regressors ⋮ ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS ⋮ TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS ⋮ A perspective on recent methods on testing predictability of asset returns ⋮ CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS ⋮ On LASSO for predictive regression ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ A robust test for predictability with unknown persistence ⋮ Functional index coefficient models with variable selection ⋮ Penetrating sporadic return predictability ⋮ Extensions to IVX methods of inference for return predictability ⋮ Transformed regression-based long-horizon predictability tests ⋮ Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach ⋮ Robust inference with stochastic local unit root regressors in predictive regressions ⋮ A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR ⋮ ASYMPTOTIC THEORY FOR KERNEL ESTIMATORS UNDER MODERATE DEVIATIONS FROM A UNIT ROOT, WITH AN APPLICATION TO THE ASYMPTOTIC SIZE OF NONPARAMETRIC TESTS ⋮ A new robust inference for predictive quantile regression ⋮ Enhancing the local power of IVX-based tests in predictive regressions ⋮ Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model ⋮ A unified test for predictability of asset returns regardless of properties of predicting variables ⋮ A weighted sieve estimator for nonparametric time series models with nonstationary variables ⋮ Solving Euler equations via two-stage nonparametric penalized splines ⋮ Predictive quantile regression with persistent covariates: IVX-QR approach ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes ⋮ FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Moments in Pearson's four-step uniform random walk problem and other applications of very well-poised generalized hypergeometric series ⋮ Predictive quantile regressions under persistence and conditional heteroskedasticity ⋮ Nonparametric predictive regression ⋮ Testing for parameter instability and structural change in persistent predictive regressions ⋮ Testing for episodic predictability in stock returns ⋮ Residual-augmented IVX predictive regression

Cites Work

• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Limit theory for moderate deviations from a unit root
• Robust econometric inference with mixed integrated and mildly explosive regressors
• A control function approach for testing the usefulness of trending variables in forecast models and linear regression
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotics for linear processes
• Nonparametric predictive regression
• Dating the timeline of financial bubbles during the subprime crisis
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Towards a unified asymptotic theory for autoregression
• Efficient Tests for an Autoregressive Unit Root
• A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
• Common risk factors in the returns on stocks and bonds
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

This page was built for publication: Predictive regression under various degrees of persistence and robust long-horizon regression