Predictive Regression under Various Degrees of Persistence and Robust Long-Horizon Regression

Predictive Regression under Various Degrees of Persistence and Robust Long-Horizon Regression

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 infer...

Full description

Saved in:
Bibliographic Details
Main Authors: Peter C. B. PHILLIPS, LEE, Ji Hyung
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
Asymptotic theory
Balanced regression
Endogeneity
Instrumentation
IVX methods
Local power
Mild integration
Mildly explosive
Predictive regression
Robustness
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1828
https://ink.library.smu.edu.sg/context/soe_research/article/2827/viewcontent/PredictiveRegressionPersistenceRobustLong_horizonRegression_2013.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1828
https://ink.library.smu.edu.sg/context/soe_research/article/2827/viewcontent/PredictiveRegressionPersistenceRobustLong_horizonRegression_2013.pdf

Similar Items