Maynard, Alex; Smallwood, Aaron; Wohar, Mark E. - In: Econometric Reviews 32 (2013) 3, pp. 318-360
Predictability tests with long memory regressors may entail both size distortion and incompatibility between the orders of integration of the dependent and independent variables. Addressing both problems simultaneously, this paper proposes a two-step procedure that rebalances the predictive...