Predictive regression under various degrees of persistence and robust long-horizon regression
نویسندگان
چکیده
منابع مشابه
PREDICTIVE REGRESSION UNDER VARIOUS DEGREES OF PERSISTENCE AND ROBUST LONG-HORIZON REGRESSION by
The paper proposes a novel inference procedure for long-horizon predictive regression with persistent regressors, allowing the autoregressive roots to lie in a wide vicinity of unity. The invalidity of conventional tests when regressors are persistent has led to a large literature dealing with inference in predictive regressions with local to unity regressors. Magdalinos and Phillips (2009b) re...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2013
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2013.04.011