Robust inference with stochastic local unit root regressors in predictive regressions

This paper explores predictive regression models with stochastic unit root (STUR) components and robust inference procedures that encompass a wide class of persistent and time-varying stochastically nonstationary regressors. The paper extends the mechanism of endogenously generated instrumentation k...

Full description

Saved in:
Bibliographic Details
Main Authors: LIU, Yanbo, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
IVX
Online Access:https://ink.library.smu.edu.sg/soe_research/2699
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English