Nonparametric Predictive Regression

Nonparametric Predictive Regression

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The limit distribution of these predictive tests is nuisance parameter f...

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Bibliographic Details
Main Authors: KASPARIS, Ioannis, ANDREOU, Elena, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Fractional Ornstein-Uhlenbeck process
Functional regression
Nonparametric predictability test
Nonparametric regression
Stock returns
Predictive regression
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1836
https://ink.library.smu.edu.sg/context/soe_research/article/2835/viewcontent/NonparametricPredictiveRegression_2015.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1836
https://ink.library.smu.edu.sg/context/soe_research/article/2835/viewcontent/NonparametricPredictiveRegression_2015.pdf

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