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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2015
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| Subjects: | |
| 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 |