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  • Search: subject:"Nonparametric predictability test"
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Year of publication
Subject
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Functional regression 4 Nonparametric predictability test 4 Nonparametric regression 4 Predictive regression 4 Stock returns 4 Capital income 1 Capital market returns 1 Estimation 1 Forecasting model 1 Fractional Ornstein-Uhlenbeck process 1 Fractional Ornstein–Uhlenbeck process 1 Kapitaleinkommen 1 Kapitalmarktrendite 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Prognoseverfahren 1 Regression analysis 1 Regressionsanalyse 1 Schätzung 1 Statistical test 1 Statistischer Test 1 Theorie 1 Theory 1 functional regression 1 nonparametric predictability test 1 nonparametric regression 1 predictive regression 1 stock returns 1
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Online availability
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Free 2 Undetermined 2
Type of publication
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Book / Working Paper 3 Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 4 English 1
Author
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Andreou, Elena 5 Kasparis, Ioannis 5 Phillips, Peter C. B. 3 Phillips, Peter C.B. 2
Institution
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C.E.P.R. Discussion Papers 1 Cowles Foundation for Research in Economics, Yale University 1 University of Cyprus Department of Economics 1
Published in...
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CEPR Discussion Papers 1 Cowles Foundation Discussion Papers 1 Journal of Econometrics 1 Journal of econometrics 1 University of Cyprus Working Papers in Economics 1
Source
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RePEc 4 ECONIS (ZBW) 1
Showing 1 - 5 of 5
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Nonparametric Predictive Regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - University of Cyprus Department of Economics - 2012
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...
Persistent link: https://www.econbiz.de/10010571590
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Nonparametric Predictive Regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2012
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...
Persistent link: https://www.econbiz.de/10011213863
Saved in:
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Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C.B. - In: Journal of Econometrics 185 (2015) 2, pp. 468-494
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The limit distribution of these predictive tests is nuisance...
Persistent link: https://www.econbiz.de/10011190727
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Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
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Cover Image
Nonparametric Predictive Regression
Andreou, Elena; Kasparis, Ioannis; Phillips, Peter C. B. - C.E.P.R. Discussion Papers - 2013
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...
Persistent link: https://www.econbiz.de/10011084643
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