Pitfalls and Possibilities in Predictive Regression
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More about this item
Keywords
Bias; Endogenous instrumentation; Indirect inference; IVX estimation; Local unit roots; Mild integration; Prediction; Quantile crossing; Unit roots; Zero coverage probability;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-07-04 (Econometrics)
- NEP-ETS-2015-07-04 (Econometric Time Series)
- NEP-FOR-2015-07-04 (Forecasting)
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