Robust econometric inference with mixed integrated and mildly explosive regressors
From MaRDI portal
(Redirected from Publication:281052)
Recommendations
- Instrumental variable and variable addition based inference in predictive regressions
- Finite-sample size control of IVX-based tests in predictive regressions
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Robust inference for predictability in smooth transition predictive regressions
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Asymptotics for linear processes
- Dating the timeline of financial bubbles during the subprime crisis
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Limit theory for VARs with mixed roots near unity
- Long memory and regime switching
- Nonlinearity induced weak instrumentation
- Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Regression Theory for Near-Integrated Time Series
- Strong invariance principles for dependent random variables
- 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
- Towards a unified asymptotic theory for autoregression
- Unit root and cointegrating limit theory when initialization is in the infinite past
- Unit root log periodogram regression
Cited in
(18)- 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
- Consistent inference for predictive regressions in persistent economic systems
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach
- Testing the predictability of U.S. housing price index returns based on an IVX-AR model
- On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
- The uniform validity of impulse response inference in autoregressions
- On LASSO for predictive regression
- 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
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Finite-sample size control of IVX-based tests in predictive regressions
- A Unified Inference for Predictive Quantile Regression
- Enhancing the local power of IVX-based tests in predictive regressions
- A new robust inference for predictive quantile regression
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
This page was built for publication: Robust econometric inference with mixed integrated and mildly explosive regressors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q281052)
