Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
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- Richardson, Matthew & Stock, James H., 1989. "Drawing inferences from statistics based on multiyear asset returns," Journal of Financial Economics, Elsevier, vol. 25(2), pages 323-348, December.
- Markku Lanne, 2002.
"Testing The Predictability Of Stock Returns,"
The Review of Economics and Statistics,
MIT Press, vol. 84(3), pages 407-415, August.
- Lanne, M., 2000. "Testing the Predictability of Stock Returns," University of Helsinki, Department of Economics 488, Department of Economics.
- Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May. Full references (including those not matched with items on IDEAS)