A Bootstrap Stationarity Test for Predictive Regression Invalidity
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Other versions of this item:
- Iliyan Georgiev & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2017. "A bootstrap stationarity test for predictive regression invalidity," Discussion Papers 17/04, University of Nottingham, Granger Centre for Time Series Econometrics.
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Cited by:
- Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023.
"Transformed regression-based long-horizon predictability tests,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
- Georgiev, Iliyan & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2018.
"Testing for parameter instability in predictive regression models,"
Journal of Econometrics, Elsevier, vol. 204(1), pages 101-118.
- Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AM, 2018. "Testing for Parameter Instability in Predictive Regression Models," Essex Finance Centre Working Papers 21162, University of Essex, Essex Business School.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2022.
"Testing for episodic predictability in stock returns,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 85-113.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2019. "Testing for Episodic Predictability in Stock Returns," Essex Finance Centre Working Papers 24137, University of Essex, Essex Business School.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2019. "Testing for Episodic Predictability in Stock Returns," Working Papers w201906, Banco de Portugal, Economics and Research Department.
More about this item
Keywords
Predictive regression; causality; persistence; spurious regression; stationarity test; fixed regressor wild bootstrap; conditional distribution.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-01-15 (Econometrics)
- NEP-ETS-2018-01-15 (Econometric Time Series)
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