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Instrumental variable and variable addition based inference in predictive regressions
Breitung, Jörg; Demetrescu, Matei - In: Journal of econometrics 187 (2015) 1, pp. 358-375
Persistent link: https://www.econbiz.de/10011499478
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Testing for episodic predictability in stock returns
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
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Residual-augmented IVX predictive regression
Demetrescu, Matei; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 2, pp. 429-460
Persistent link: https://www.econbiz.de/10013442118
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Extensions to IVX methods of inference for return predictability
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
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Transformed regression-based long-horizon predictability tests
Demetrescu, Matei; Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 237 (2023) 2,3, pp. 1-37
Persistent link: https://www.econbiz.de/10014471812