Instrumental variable and variable addition based inference in predictive regressions
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Publication:494409
Recommendations
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Finite-sample size control of IVX-based tests in predictive regressions
- Robust inference for predictability in smooth transition predictive regressions
- Nonparametric predictive regression
Cites work
- Asymptotics for linear processes
- CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
- Covariance-based orthogonality tests for regressors with unknown persistence
- ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
- Inference in Linear Time Series Models with some Unit Roots
- 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
- Multiple Time Series Regression with Integrated Processes
- New Tools for Understanding Spurious Regressions
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Persistence-robust surplus-lag Granger causality testing
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical inference in vector autoregressions with possibly integrated processes
- Stochastic Limit Theory
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Towards a unified asymptotic theory for autoregression
- Unit Root Tests under Time-Varying Variances
Cited in
(28)- Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
- Bonferroni Type Tests for Return Predictability and the Initial Condition
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- Simple tests for stock return predictability with good size and power properties
- Robust inference for predictability in smooth transition predictive regressions
- Residual-augmented IVX predictive regression
- Unified Tests for a Dynamic Predictive Regression
- Extensions to IVX methods of inference for return predictability
- Penetrating sporadic return predictability
- Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Testing the predictability of U.S. housing price index returns based on an IVX-AR model
- Bias reduction and likelihood-based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood
- A Bootstrap Stationarity Test for Predictive Regression Invalidity
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Improved tests for stock return predictability
- Testing for parameter instability in predictive regression models
- Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions
- A robust test for predictability with unknown persistence
- Transformed regression-based long-horizon predictability tests
- Differencing transformations and inference in predictive regression models
- Testing for episodic predictability in stock returns
- Finite-sample size control of IVX-based tests in predictive regressions
- Enhancing the local power of IVX-based tests in predictive regressions
- On adding over-identifying instrumental variables to simultaneous equations
- A perspective on recent methods on testing predictability of asset returns
- A new robust inference for predictive quantile regression
- Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
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