Enhancing the local power of IVX-based tests in predictive regressions

DOI10.1016/J.ECONLET.2014.05.032MaRDI QIDQ485604zbMATH OpenOpenAlexFDO

Authors Matei Demetrescu

Publication date 12 January 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.05.032

zbMATH Keywords

IV estimationlag augmentationpredictive powerunknown persistencevariable addition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Finite-sample size control of IVX-based tests in predictive regressions
• Instrumental variable and variable addition based inference in predictive regressions
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Robust inference for predictability in smooth transition predictive regressions

Cites work

• Instrumental variable and variable addition based inference in predictive regressions
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Limit theory for moderate deviations from a unit root
• Making wald tests work for cointegrated VAR systems
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Statistical inference in vector autoregressions with possibly integrated processes

Cited in

(4)

• Unified Tests for a Dynamic Predictive Regression
• Finite-sample size control of IVX-based tests in predictive regressions
• Residual-augmented IVX predictive regression
• Empirical likelihood-based unified confidence region for a predictive regression model

This page was built for publication: Enhancing the local power of IVX-based tests in predictive regressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q485604)