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Restricted likelihood ratio tests in predictive regression
Phillips, Peter C. B.
;
Chen, Ye
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2014
Persistent link: https://www.econbiz.de/10010464129
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Restricted Likelihood Ratio Tests in Predictive Regression
Phillips, Peter C.B.
;
Chen, Ye
-
Cowles Foundation for Research in Economics, Yale University
drift in the regressor is dominant. A limit theory for the modified REML test is given under a
localized
drift
specification …
Persistent link: https://www.econbiz.de/10011096426
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