NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
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Publication:5859569
DOI10.1017/S0266466620000079zbMath1462.62550OpenAlexW3018980051MaRDI QIDQ5859569
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
Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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