A joint test of predictability and structural break in predictive regressions
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DOI: 10.1007/s00181-024-02572-5
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More about this item
Keywords
IVX; Predictive regressions; Structural break; Joint test;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
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