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Halbert White jr. Memorial JFEC Lecture : pitfalls and possibilities in predictive regression
Phillips, Peter C. B., (2015)
Estimation and inference in predictive regressions
Kurozumi, Eiji, (2013)
Estimation of Average Local-to-Unity Roots in Heterogenous Panels
Hjalmarsson, Erik, (2006)
An instrumental variable approach for panel unit root tests under cross-sectional dependence
Shin, Dong-wan, (2006)
A new kernel for long-run variance estimates in seasonal time series models
Shin, Dong-wan, (2002)
Asymptotic efficiency of the ordinary least squares estimators for regressions with unstable regressors