Transformed regression-based long-horizon predictability tests
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 |
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