A control function approach for testing the usefulness of trending variables in forecast models and linear regression
DOI10.1016/J.JECONOM.2011.02.014zbMATH Open1441.62675OpenAlexW2024213706MaRDI QIDQ737994FDOQ737994
Authors: Graham Elliott 
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.014
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Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Bootstrapping unstable first-order autoregressive processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Statistical analysis of cointegration vectors
- Towards a unified asymptotic theory for autoregression
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Inference in Linear Time Series Models with some Unit Roots
- Efficient Tests for an Autoregressive Unit Root
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Optimal Inference in Regression Models with Nearly Integrated Regressors
Cited In (6)
- A new robust inference for predictive quantile regression
- Improved tests for stock return predictability
- A perspective on recent methods on testing predictability of asset returns
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Simple tests for stock return predictability with good size and power properties
- Predictive regression under various degrees of persistence and robust long-horizon regression
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