Testing instability in a predictive regression model with nonstationary regressors

DOI10.1017/S0266466614000590zbMATH Open1441.62622OpenAlexW1972560541MaRDI QIDQ3453246FDOQ3453246

Authors: Yunfei Wang, Zongwu Cai, Yonggang Wang 

Publication date: 20 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000590

Recommendations

• Testing predictive regression models with nonstationary regressors
• Testing for parameter instability in predictive regression models
• Testing heteroskedasticity for predictive regressions with nonstationary regressors
• Nonparametric predictive regression
• The monitoring test for the stability of regression models with nonstationary regressors

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

• A consistent test of functional form via nonparametric estimation techniques
• Regression Theory for Near-Integrated Time Series
• The functional law of the iterated logarithm for stationary strongly mixing sequences
• Testing for smooth structural changes in time series models via nonparametric regression
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• A specification test for nonlinear nonstationary models
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Functional-coefficient cointegration models
• Testing predictive regression models with nonstationary regressors
• Predictive regressions for macroeconomic data

Cited In (14)

• Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
• A Bootstrap Stationarity Test for Predictive Regression Invalidity
• A model-free consistent test for structural change in regression possibly with endogeneity
• The monitoring test for the stability of regression models with nonstationary regressors
• Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
• A non‐parametric test for multi‐variate trend functions
• Testing for parameter instability in predictive regression models
• A perspective on recent methods on testing predictability of asset returns
• TESTING THE STABILITY OF REGRESSION COEFFICIENTS USING GENERALIZED RECURSIVE RESIDUALS
• Test for partial parameter instability in regressions with \(I(1)\) processes
• Testing heteroskedasticity for predictive regressions with nonstationary regressors
• Testing predictive regression models with nonstationary regressors
• Time-varying predictability of the long horizon equity premium based on semiparametric regressions
• A unified test for predictability of asset returns regardless of properties of predicting variables

This page was built for publication: Testing instability in a predictive regression model with nonstationary regressors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3453246)