Transformed regression-based long-horizon predictability tests
Matei Demetrescu, Paulo M.M. Rodrigues, A.M. Robert Taylor
| Year of publication: |
2023
|
|---|---|
| Authors: | Demetrescu, Matei ; Rodrigues, Paulo M. M. ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 237.2023, 2,3, p. 1-37
|
| Subject: | (Un)conditional heteroskedasticity | Endogeneity | IVX estimation | Long-horizon predictive regression | Residual augmentation | Unknown regressor persistence | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2022.06.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471812