A bootstrap stationarity test for predictive regression invalidity
Iliyan Georgiev, David I. Harvey and Stephen J. Leybourne, A. M. Robert Taylor
| Year of publication: |
2019
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|---|---|
| Authors: | Georgiev, Iliyan ; Harvey, David I. ; Leybourne, Stephen James ; Taylor, Robert |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 37.2019, 3, p. 528-541
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| Subject: | Conditional distribution | Fixed regressor wild bootstrap | Granger causality | Persistence | Predictive regression | Stationarity test. | Bootstrap-Verfahren | Bootstrap approach | Regressionsanalyse | Regression analysis | Kausalanalyse | Causality analysis | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2017.1385467 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012178194