A control function approach for testing the usefulness of trending variables in forecast models and linear regression

DOI10.1016/J.JECONOM.2011.02.014MaRDI QIDQ737994zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

cointegrationnear unit rootprediction regressions

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Bootstrapping unstable first-order autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Inference in Linear Time Series Models with some Unit Roots
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• Towards a unified asymptotic theory for autoregression

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
• Simple tests for stock return predictability with good size and power properties
• Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
• Predictive regression under various degrees of persistence and robust long-horizon regression

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