Robust inference for predictability in smooth transition predictive regressions
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Cites work
- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
- Efficient Tests for an Autoregressive Unit Root
- Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Limit theory for moderate deviations from a unit root
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- Long-run risk-return trade-offs
- New Tools for Understanding Spurious Regressions
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Specification, estimation, and evaluation of smooth transition autoregressive models
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing the adequacy of smooth transition autoregressive models
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Threshold Autoregression with a Unit Root
- Time Series Regression with a Unit Root
Cited in
(11)- A robust test for predictability with unknown persistence
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- Predictive regression under various degrees of persistence and robust long-horizon regression
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Differencing transformations and inference in predictive regression models
- Enhancing the local power of IVX-based tests in predictive regressions
- Instrumental variable and variable addition based inference in predictive regressions
- Using Smooth Transition Regressions to Model Risk Regimes
- Robust Response Transformations Based on Optimal Prediction
- Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions
- Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
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