Transformed regression-based long-horizon predictability tests

DOI10.1016/J.JECONOM.2022.06.006MaRDI QIDQ6090579zbMATH OpenOpenAlexFDO

Authors Matei Demetrescu, Paulo M. M. Rodrigues, A. M. Robert Taylor

Publication date 17 November 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2022.06.006

zbMATH Keywords

(un)conditional heteroskedasticityendogeneityIVX estimationlong-horizon predictive regressionresidual augmentationunknown regressor persistence

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(6)

• Predictive regression under various degrees of persistence and robust long-horizon regression
• Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
• Nonparametric testing for long-horizon predictability with persistent covariates
• A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• Predictive quantile regressions with persistent and heteroskedastic predictors: a powerful 2SLS testing approach

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