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

DOI10.1016/J.ECONLET.2014.05.032zbMATH Open1302.91168OpenAlexW2027780498MaRDI QIDQ485604FDOQ485604

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

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

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)

Cites Work

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

Cited In (3)

• Unified Tests for a Dynamic Predictive Regression
• Residual-augmented IVX predictive regression
• Empirical likelihood-based unified confidence region for a predictive regression model

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