NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
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Publication:5859569
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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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