Consistent inference for predictive regressions in persistent economic systems
Year of publication: |
2021
|
---|---|
Authors: | Andersen, Torben ; Varneskov, Rasmus Tangsgaard |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 224.2021, 1, p. 215-244
|
Subject: | Stochastic volatility | Endogeneity bias | Fractional integration | Frequency domain inference | Hypothesis testing | Spurious inference | VAR models | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Induktive Statistik | Statistical inference | Volatilität | Volatility | Systematischer Fehler | Bias | Regressionsanalyse | Regression analysis | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Statistischer Test | Statistical test | VAR-Modell | VAR model |
-
Weak identification of long memory with implications for inference
Li, Jia, (2022)
-
Weak identification of long memory with implications for inference
Li, Jia, (2022)
-
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben, (2022)
- More ...
-
Inference for option panels in pure-jump settings
Andersen, Torben, (2019)
-
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben, (2018)
-
Option panels in pure-jump settings
Andersen, Torben, (2018)
- More ...