A bootstrap stationarity test for predictive regression invalidity
In order for predictive regression tests to deliver asymptotically valid inference, account has to be taken of the degree of persistence of the predictors under test. There is also a maintained assumption that any predictability in the variable of interest is purely attributable to the predictors un...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis
2017
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/45335/ |