Transformed Regression-based Long-Horizon Predictability Tests
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More about this item
Keywords
long-horizon predictive regression; IVX estimation; (un)conditional heteroskedasticity; unknown regressor persistence; endogeneity; residual augmentation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-06-28 (Econometrics)
- NEP-ETS-2021-06-28 (Econometric Time Series)
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