Testing predictive regression models with nonstationary regressors
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Publication:2512593
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Cites work
- A maximal inequality and dependent strong laws
- A two–stage approach to additive time series models
- Functional-Coefficient Regression Models for Nonlinear Time Series
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Regression Theory for Near-Integrated Time Series
- The functional law of the iterated logarithm for stationary strongly mixing sequences
Cited in
(30)- A perspective on recent methods on testing predictability of asset returns
- The scale of predictability
- A unified test for predictability of asset returns regardless of properties of predicting variables
- Testing for parameter instability in predictive regression models
- Residual-augmented IVX predictive regression
- A robust test for predictability with unknown persistence
- High-dimensional predictive regression in the presence of cointegration
- Nonparametric predictive regression
- Corrigendum to ``Testing predictive regression models with nonstationary regressors
- Predictive regressions for macroeconomic data
- Testing heteroskedasticity for predictive regressions with nonstationary regressors
- A new robust inference for predictive quantile regression
- Testing instability in a predictive regression model with nonstationary regressors
- TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
- \textit{RR}-plot: a descriptive tool for regression observations
- Empirical likelihood-based unified confidence region for a predictive regression model
- Testing the predictability of U.S. housing price index returns based on an IVX-AR model
- scientific article; zbMATH DE number 6193729 (Why is no real title available?)
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- Transformed regression-based long-horizon predictability tests
- Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
- Uniform Test for Predictive Regression With AR Errors
- Unified Tests for a Dynamic Predictive Regression
- A new Portmanteau test for predictive regression models with possible embedded endogeneity
- Inference in predictive quantile regressions
- Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach
- LASSO inference for high dimensional predictive regressions
- Panel data models with cross-sectional dependence: a selective review
- Predictive expectile regression models under possible high persistence and conditional heteroskedasticity
- Functional index coefficient models with variable selection
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