Robust econometric inference with mixed integrated and mildly explosive regressors
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DOI: 10.1016/j.jeconom.2016.02.009
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More about this item
Keywords
Chi-square; Instrumentation; IVX methods; Local to unity; Mild integration; Mild explosiveness; Predictive regression; Robustness;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
Statistics
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