Robust inference for predictability in smooth transition predictive regressions

DOI10.1080/07474938.2016.1222233zbMATH Open1490.62256OpenAlexW2513363685MaRDI QIDQ5860894FDOQ5860894

Authors Rehim Kılıç 

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2016.1222233

zbMATH Keywords

nonlinearitystock return predictabilitysmooth transition predictive regression modelsup tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Nonparametric predictive regression
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• Predictive regression under various degrees of persistence and robust long-horizon regression
• A robust test for predictability with unknown persistence
• Differencing transformations and inference in predictive regression models

Cites Work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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• 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 (10)

• Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
• Robust Response Transformations Based on Optimal Prediction
• Using Smooth Transition Regressions to Model Risk Regimes
• Nonparametric predictive regression
• Differencing transformations and inference in predictive regression models
• Enhancing the local power of IVX-based tests in predictive regressions
• Predictive regression under various degrees of persistence and robust long-horizon regression
• A robust test for predictability with unknown persistence

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