A robust test for predictability with unknown persistence
Guannan Liu, Shuang Yao
| Year of publication: |
2020
|
|---|---|
| Authors: | Liu, Guannan ; Yao, Shuang |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 189.2020, p. 1-5
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| Subject: | Asymptotic theory | Integrated process | Kernel covariance estimation | Nearly integrated process | Return predictability | Stationary process | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Einheitswurzeltest | Unit root test | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2020.109028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012228019