Testing instability in a predictive regression model with nonstationary regressors

DOI10.1017/S0266466614000590MaRDI QIDQ3453246zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(14)

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

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