Consistent inference for predictive regressions in persistent economic systems
Torben G. Andersen, Rasmus T. Varneskov
| 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 | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Induktive Statistik | Statistical inference | Statistischer Test | Statistical test | Prognoseverfahren | Forecasting model | Systematischer Fehler | Bias | Volatilität | Volatility | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.04.051 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013275373