Nearly Optimal Test for Long Run Predictability with Nearly Integrated Regressors

We develop a method for long-run predictability testing in series Y by a persistent series X. We consider a class of tests based on the long-run behavior of these series that are robust to short-run dynamics and attempt to attain the highest possible power. The test is based on the Whittle approximation to the likelihood ratio that is adjusted to remain accurate across a range of persistence in X. We verify the properties of this test in small simulations and compare this test against a group of recently proposed methods

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Year of publication:	2020
Authors:	Sizova, Natalia
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Statistischer Test \| Statistical test \| Einheitswurzeltest \| Unit root test \| Regressionsanalyse \| Regression analysis \| Schätztheorie \| Estimation theory \| Prognoseverfahren \| Forecasting model

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