Predictive regression under various degrees of persistence and robust long-horizon regression

Journal of Econometrics

Volumn 177, Issue 2, 2013, Pages 250-264

  Phillips, Peter C B ^a,b,c,d   Lee, Ji Hyung ^a  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^d UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Asymptotic theory; Balanced regression; Endogeneity; Instrumentation; IVX methods; Local power; Mild integration; Mildly explosive; Predictive regression; Robustness

Indexed keywords

COMPUTER SIMULATION; INVESTMENTS; ROBUSTNESS (CONTROL SYSTEMS); STATISTICAL TESTS;

ASYMPTOTIC THEORIES; BALANCED REGRESSION; ENDOGENEITY; INSTRUMENTATION; IVX METHODS; LOCAL POWER; PREDICTIVE REGRESSION;

REGRESSION ANALYSIS;

EID: 84886724423     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.04.011     Document Type: Article

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