Robust econometric inference with mixed integrated and mildly explosive regressors
DOI10.1016/J.JECONOM.2016.02.009zbMATH Open1420.62394OpenAlexW2252586811MaRDI QIDQ281052FDOQ281052
Authors: Peter C. B. Phillips, Ji Hyung Lee 
Publication date: 10 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.009
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robustnesschi-squareinstrumentationIVX methodslocal to unitymild explosivenessmild integrationpredictive regression
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Cites Work
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- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Unit root log periodogram regression
- Towards a unified asymptotic theory for autoregression
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- Regression Theory for Near-Integrated Time Series
- Long memory and regime switching
- Strong invariance principles for dependent random variables
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory
- Dating the timeline of financial bubbles during the subprime crisis
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Unit root and cointegrating limit theory when initialization is in the infinite past
- Nonlinearity induced weak instrumentation
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- Testing for multiple bubbles: limit theory of real-time detectors
- Limit theory for VARs with mixed roots near unity
Cited In (18)
- A new robust inference for predictive quantile regression
- A Unified Inference for Predictive Quantile Regression
- Finite-sample size control of IVX-based tests in predictive regressions
- Testing the predictability of U.S. housing price index returns based on an IVX-AR model
- On LASSO for predictive regression
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Consistent inference for predictive regressions in persistent economic systems
- 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
- Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
- The uniform validity of impulse response inference in autoregressions
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Robust inference with stochastic local unit root regressors in predictive regressions
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