Halbert White Jr. Memorial JFEC lecture: Pitfalls and possibilities in predictive regression

Journal of Financial Econometrics

Volumn 13, Issue 3, 2015, Pages 521-555

  Phillips, Peter C B ^a,b,c,d  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^d UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Bias; Endogenous instrumentation; Indirect inference; IVX estimation; Local unit roots; Mild integration; Prediction; Quantile crossing; Unit roots; Zero coverage probability

Indexed keywords

EID: 84942042408     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbv014     Document Type: Article

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