A bootstrap stationarity test for predictive regression invalidity

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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...

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Bibliographic Details
Main Authors:	Georgiev, Iliyan, Harvey, David I., Leybourne, Stephen J., Taylor, A.M. Robert
Format:	Article
Language:	English
Published:	Taylor & Francis 2017
Subjects:	Predictive regression; Granger causality; persistence; stationarity test; fixed regressor wild bootstrap; conditional distribution
Online Access:	https://eprints.nottingham.ac.uk/45335/

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