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Semiparametric testing with highly persistent predictors

Werker, Bas J. M.; Zhou, Bo - In: Journal of econometrics 227 (2022) 2, pp. 347-370

Persistent link: https://www.econbiz.de/10013442061

Testing for structural change of predictive regression model to threshold predictive regression model

Zhu, Fukang; Liu, Mengya; Ling, Shiqing; Cai, Zongwu - 2020

Persistent link: https://www.econbiz.de/10012425329

Testing for structural change of predictive regression model to threshold predictive regression model

Zhu, Fukang; Liu, Mengya; Ling, Shiqing; Cai, Zongwu - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 228-240

Persistent link: https://www.econbiz.de/10013540808

Comparing sequential forecasters

Choe, Yo Joong; Ramdas, Aaditya - In: Operations research 72 (2024) 4, pp. 1368-1387

Persistent link: https://www.econbiz.de/10015045380

Nonparametric Predictive Regression

Kasparis, Ioannis - 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/10013100418