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We study standard predictive regressions in economic systems governed by persistent vector autoregressive dynamics for the state variables. In particular, all - or a subset - of the variables may be fractionally integrated, which induces a spurious regression problem. We propose a new inference...
Persistent link: https://www.econbiz.de/10012496122
This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all - or a subset - of the variables may be fractionally integrated and the predictive...
Persistent link: https://www.econbiz.de/10012496124
This paper studies standard predictive regressions in economic systems governed by persistent vector autoregressive dynamics for the state variables. In particular, all - or a subset - of the variables may be fractionally integrated, which induces a spurious regression problem. We propose a new...
Persistent link: https://www.econbiz.de/10012889937
Persistent link: https://www.econbiz.de/10011797489
Persistent link: https://www.econbiz.de/10011797494
Persistent link: https://www.econbiz.de/10011797682
This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables may be fractionally integrated and the...
Persistent link: https://www.econbiz.de/10012831312
Persistent link: https://www.econbiz.de/10012303860
Persistent link: https://www.econbiz.de/10012146164
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