NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS

DOI10.1017/S0266466620000079zbMATH Open1462.62550OpenAlexW3018980051MaRDI QIDQ5859569FDOQ5859569

Authors: Natalia Sizova 

Publication date: 16 April 2021

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

Full work available at URL: https://doi.org/10.1017/s0266466620000079

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zbMATH Keywords

optimal test for long-run predictability

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited In (5)

• Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
• A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
• Assessing the power of long-horizon predictive tests in models of bull and bear markets
• A robust test for predictability with unknown persistence
• Testing predictive regression models with nonstationary regressors

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