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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |