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

• 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
• Institution: Singapore Management University

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...