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Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown
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As found by EconAcademics.org, the blog aggregator for Economics research:- Some thoughts on the Reinhart and Rogoff debate
by Gray in Pseudo-true News on 2013-04-24 10:06:23
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Cited by:
- Werker, Bas J.M. & Zhou, Bo, 2022. "Semiparametric testing with highly persistent predictors," Journal of Econometrics, Elsevier, vol. 227(2), pages 347-370.
- Bo Zhou, 2023. "Semiparametrically Optimal Cointegration Test," Papers 2305.08880, arXiv.org.
- John Y. Campbell & Luis M. Viceira, 2005.
"The Term Structure of the Risk–Return Trade-Off,"
Financial Analysts Journal, Taylor & Francis Journals, vol. 61(1), pages 34-44, January.
- John Y. Campbell & Luis Viceira, 2005. "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers 11119, National Bureau of Economic Research, Inc.
- Campbell, John Y & Viceira, Luis, 2005. "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers 4914, C.E.P.R. Discussion Papers.
- Lee, Ji Hyung, 2016.
"Predictive quantile regression with persistent covariates: IVX-QR approach,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 105-118.
- Lee, JiHyung, 2015. "Predictive quantile regression with persistent covariates: IVX-QR approach," MPRA Paper 65150, University Library of Munich, Germany.
- Yang, Bingduo & Long, Wei & Yang, Zihui, 2022. "Testing predictability of stock returns under possible bubbles," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 246-260.
- Avdis, Efstathios & Wachter, Jessica A., 2017. "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, vol. 125(3), pages 589-609.
- Ren, Yu & Tu, Yundong & Yi, Yanping, 2019. "Balanced predictive regressions," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 118-142.
- Jacob Boudoukh & Ronen Israel & Matthew P. Richardson, 2020. "Biases in Long-Horizon Predictive Regressions," NBER Working Papers 27410, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997.
"On biases in tests of the expectations hypothesis of the term structure of interest rates,"
Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1996. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Working Paper Series, Issues in Financial Regulation WP-96-3, Federal Reserve Bank of Chicago.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1996. "On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates," NBER Technical Working Papers 0191, National Bureau of Economic Research, Inc.
- Narayan, Paresh Kumar & Sharma, Susan & Poon, Wai Ching & Westerlund, Joakim, 2014.
"Do oil prices predict economic growth? New global evidence,"
Energy Economics, Elsevier, vol. 41(C), pages 137-146.
- Narayan, Paresh Kumar & Sharma, Susan Sunila & Poon, Wai Ching & Westerlund, Joakim, 2014. "Do oil prices predict economic growth? New global evidence," Working Papers fe_2014_09, Deakin University, Department of Economics.
- Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
- McCloskey, Adam, 2017.
"Bonferroni-based size-correction for nonstandard testing problems,"
Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
- Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
- Perron, Pierre & Vodounou, Cosme, 2004. "Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 203-230, March.
- Bas Werker & Bo Zhou, 2020. "Semiparametric Testing with Highly Persistent Predictors," Papers 2009.08291, arXiv.org.
- Werker, Bas J.M. & Zhou, B., 2022. "Semiparametric testing with highly persistent predictors," Other publications TiSEM 2974ce9c-97c1-44cd-9331-0, Tilburg University, School of Economics and Management.
- Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2020. "New robust inference for predictive regressions," Papers 2006.01191, arXiv.org, revised Mar 2023.
- Stanislav Anatolyev & Nikolay Gospodinov, 2007.
"Modeling Financial Return Dynamics by Decomposition,"
Working Papers
w0095, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, New Economic School (NES).
- Michael Jansson & Marcelo J. Moreira, 2006.
"Optimal Inference in Regression Models with Nearly Integrated Regressors,"
Econometrica, Econometric Society, vol. 74(3), pages 681-714, May.
- Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Harvard Institute of Economic Research Working Papers 2047, Harvard - Institute of Economic Research.
- Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," NBER Technical Working Papers 0303, National Bureau of Economic Research, Inc.
- Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022.
"Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models,"
Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
- Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2020. "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," PIER Working Paper Archive 20-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
- Min Wei & Jonathan H. Wright, 2009. "Confidence intervals for long-horizon predictive regressions via reverse regressions," Finance and Economics Discussion Series 2009-27, Board of Governors of the Federal Reserve System (U.S.).
- Kurozumi, Eiji & Aono, Kohei, 2013.
"Estimation And Inference In Predictive Regressions,"
Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 231-250, December.
- Eiji Kurozumi & Kohei Aono, 2011. "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series gd11-192, Institute of Economic Research, Hitotsubashi University.
- Ai Deng, 2014.
"Understanding Spurious Regression in Financial Economics,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 122-150.
- Ai Deng, 2013. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 122-150, December.
- Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
- Wachter, Jessica A. & Warusawitharana, Missaka, 2009.
"Predictable returns and asset allocation: Should a skeptical investor time the market?,"
Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
- Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
- Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
- repec:wyi:journl:002108 is not listed on IDEAS
- Nikitas Pittis & Christina Christou & Sarantis Kalyvitis & Christis Hassapis, 2009. "Long‐Run PPP under the Presence of Near‐to‐Unit Roots: The Case of the British Pound–US Dollar Rate," Review of International Economics, Wiley Blackwell, vol. 17(1), pages 144-155, February.
- Huntley Schaller & Simon Van Norden, 1997.
"Regime switching in stock market returns,"
Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 177-191.
- Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, University Library of Munich, Germany.
- Demetrescu, Matei & Rodrigues, Paulo M.M., 2022.
"Residual-augmented IVX predictive regression,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
- Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers w201126, Banco de Portugal, Economics and Research Department.
- Jeeman Jung & Robert J. Shiller, 2002.
"One Simple Test of Samuelson's Dictum for the Stock Market,"
Cowles Foundation Discussion Papers
1386, Cowles Foundation for Research in Economics, Yale University.
- Jeeman Jung & Robert Shiller, 2002. "One Simple Test of Samuelson's Dictum for the Stock Market," Yale School of Management Working Papers ysm315, Yale School of Management, revised 01 Nov 2003.
- Jeeman Jung & Robert J. Shiller, 2002. "One Simple Test of Samuelson's Dictum for the Stock Market," NBER Working Papers 9348, National Bureau of Economic Research, Inc.
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2021.
"Simple tests for stock return predictability with good size and power properties,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 198-214.
- Harvey, David I & Leybourne, Stephen J & Taylor, AM Robert, 2021. "Simple Tests for Stock Return Predictability with Good Size and Power Properties," Essex Finance Centre Working Papers 29814, University of Essex, Essex Business School.
- Malcolm P. Baker & Ryan Taliaferro & Jeffrey Wurgler, 2004. "Pseudo Market Timing and Predictive Regressions," NBER Working Papers 10823, National Bureau of Economic Research, Inc.
- Wright, Jonathan H., 1996. "Structural stability tests in the linear regression model when the regressors have roots local to unity," Economics Letters, Elsevier, vol. 52(3), pages 257-262, September.
- Campbell, John Y. & Yogo, Motohiro, 2006.
"Efficient tests of stock return predictability,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
- John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers 1972, Harvard - Institute of Economic Research.
- John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.
- Campbell, John & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Scholarly Articles 3122601, Harvard University Department of Economics.
- Cai, Zongwu & Wang, Yunfei, 2014. "Testing predictive regression models with nonstationary regressors," Journal of Econometrics, Elsevier, vol. 178(P1), pages 4-14.
- Zongwu Cai & Bingyi Jing & Xinbing Kong & Zhi Liu, 2017.
"Nonparametric regression with nearly integrated regressors under long‐run dependence,"
Econometrics Journal,
Royal Economic Society, vol. 20(1), pages 118-138, February.
- Zongwu Cai & Bing-Yi Jing & Xin-Bing Kong & Zhi Liu, 2013. "Nonparametric Regression With Nearly Integrated Regressors Under Long Run Dependence," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Markku Lanne, 1999. "Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 393-398, August.
- Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
- Romano, Joseph P & Wolf, Michael, 2001.
"Subsampling Intervals in Autoregressive Models with Linear Time Trend,"
Econometrica, Econometric Society, vol. 69(5), pages 1283-1314, September.
- Romano, Joseph P. & Wolf, Michael, 1999. "Subsampling intervals in autoregressive models with linear time trend," DES - Working Papers. Statistics and Econometrics. WS 6400, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Tkacz, Greg, 2004.
"Inflation changes, yield spreads, and threshold effects,"
International Review of Economics & Finance, Elsevier, vol. 13(2), pages 187-199.
- Greg Tkacz, 2002. "Inflation Changes, Yield Spreads, and Threshold Effects," Staff Working Papers 02-40, Bank of Canada.
- Matthieu Gomez, 2017. "Asset Prices and Wealth Inequality," 2017 Meeting Papers 1155, Society for Economic Dynamics.
- Buraschi, Andrea & Menini, Davide, 2002. "Liquidity risk and specialness," Journal of Financial Economics, Elsevier, vol. 64(2), pages 243-284, May.
- Jon Faust & Jonathan H. Wright, 2011.
"Efficient Prediction of Excess Returns,"
The Review of Economics and Statistics, MIT Press, vol. 93(2), pages 647-659, May.
- Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc.
- Narayan, Seema & Smyth, Russell, 2015.
"The financial econometrics of price discovery and predictability,"
International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
- Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
- Maynard, Alex & Shimotsu, Katsumi, 2009.
"Covariance-Based Orthogonality Tests For Regressors With Unknown Persistence,"
Econometric Theory, Cambridge University Press, vol. 25(1), pages 63-116, February.
- Katsumi Shimotsu & Alex Maynard, 2004. "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 Far Eastern Meetings 518, Econometric Society.
- Katsumi Shimotsu & Alex Maynard, 2004. "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 North American Summer Meetings 536, Econometric Society.
- Alex Maynard & Katsumi Shimotsu, 2007. "Covariance-based Orthogonality Tests For Regressors With Unknown Persistence," Working Paper 1122, Economics Department, Queen's University.
- Karabiyik, Hande & Westerlund, Joakim & Narayan, Paresh, 2016. "On the estimation and testing of predictive panel regressions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 115-125.
- Helmut Herwartz & Malte Rengel, 2018. "Size-corrected inference in fiscal policy reaction functions: a three country assessment," Empirical Economics, Springer, vol. 55(2), pages 391-416, September.
- Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
- Liu, Wei & Maynard, Alex, 2005. "Testing forward rate unbiasedness allowing for persistent regressors," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 613-628, December.
- Stambaugh, Robert F., 1999.
"Predictive regressions,"
Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
- Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc.
- Floro, Danvee, 2019. "Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 164-181.
- 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.
- Liyu Dou & Ulrich K. Müller, 2021. "Generalized Local‐to‐Unity Models," Econometrica, Econometric Society, vol. 89(4), pages 1825-1854, July.
- 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.
- Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
- Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
- Elliott, Graham, 2011. "A control function approach for testing the usefulness of trending variables in forecast models and linear regression," Journal of Econometrics, Elsevier, vol. 164(1), pages 79-91, September.
- Breitung, Jörg & Demetrescu, Matei, 2015. "Instrumental variable and variable addition based inference in predictive regressions," Journal of Econometrics, Elsevier, vol. 187(1), pages 358-375.
- John Y. Campbell & Luis M. Viceira, 1999.
"Consumption and Portfolio Decisions when Expected Returns are Time Varying,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(2), pages 433-495.
- John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
- Campbell, John & Viceira, Luis, 1999. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles 3163266, Harvard University Department of Economics.
- John Y. Campbell & Luis M. Viceira, 1998. "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Harvard Institute of Economic Research Working Papers 1835, Harvard - Institute of Economic Research.
- Müller, Ulrich K. & Watson, Mark W., 2013.
"Low-frequency robust cointegration testing,"
Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
- Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
- Westerlund, Joakim & Narayan, Paresh, 2016. "Testing for predictability in panels of any time series dimension," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1162-1177.
- Valkanov, Rossen, 1999. "Equity Premium and Dividend Yield regressions: A lot of noise, little information, confusing results," University of California at Los Angeles, Anderson Graduate School of Management qt955135m1, Anderson Graduate School of Management, UCLA.
- Pedro J. Gutiérrez-Diez & Tibor Pál, 2023. "Monetary policy models: lessons from the Eurozone crisis," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-19, December.
- Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
- Zongwu Cai & Seong Yeon Chang, 2018. "A New Test In A Predictive Regression with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201811, University of Kansas, Department of Economics, revised Dec 2018.
- Ľuboš Pástor & Robert F. Stambaugh, 2009.
"Predictive Systems: Living with Imperfect Predictors,"
Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, August.
- Lubos Pastor & Robert F. Stambaugh, 2007. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 12814, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2007. "Predictive Systems: Living with Imperfect Predictors," CEPR Discussion Papers 6076, C.E.P.R. Discussion Papers.
- Lubos Pastor & Robert F. Stambaugh, 2008. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 13804, National Bureau of Economic Research, Inc.
- Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
- Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Romano, Joseph P. & Wolf, Michael, 1998. "Subsampling confidence intervals for the autoregressive root," DES - Working Papers. Statistics and Econometrics. WS 6268, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Busetti, Fabio & Taylor, A. M. Robert, 2003.
"Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots,"
Journal of Econometrics, Elsevier, vol. 117(1), pages 21-53, November.
- Fabio Busetti & A. M. Robert Taylor, 2003. "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Temi di discussione (Economic working papers) 470, Bank of Italy, Economic Research and International Relations Area.
- Rodney Strachan & Herman K. van Dijk, "undated".
"Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan,"
MRG Discussion Paper Series
1407, School of Economics, University of Queensland, Australia.
- Strachan, R.W. & van Dijk, H.K., 2007. "Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan," Econometric Institute Research Papers EI 2007-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chen Yu-Chin & Rogoff Kenneth, 2012.
"Are The Commodity Currencies An Exception To The Rule?,"
Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-28.
- Yu-chin Chen & Kenneth Rogoff, 2006. "Are the Commodity Currencies an Exception to the Rule?," Working Papers UWEC-2006-28, University of Washington, Department of Economics, revised Mar 2012.
- Nonejad, Nima, 2018. "Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 260-270.
- Jeeman Jung & Robert Shiller, 2002. "One Simple Test of Samuelson's Dictum for the Stock Market," Yale School of Management Working Papers ysm315, Yale School of Management, revised 01 Nov 2003.
- Efthymios G. Pavlidis & Ivan Paya & David A. Peel, 2018. "Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 833-856, August.
- Manolis G. Kavussanos & Ilias D. Visvikis, 2011. "The Predictability of Non-Overlapping Forecasts: Evidence from a New Market," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 125-156, March - J.
- Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
- Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
- Efstathios Paparoditis & Dimitris Politis, 2000. "Large-sample inference in the general AR(1) model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 9(2), pages 487-509, December.
- Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
- Phillips, Peter C.B. & Lee, Ji Hyung, 2013. "Predictive regression under various degrees of persistence and robust long-horizon regression," Journal of Econometrics, Elsevier, vol. 177(2), pages 250-264.
- Zhou, Bo, 2024. "Semiparametrically optimal cointegration test," Journal of Econometrics, Elsevier, vol. 242(2).
- Deng, Kaihua, 2016. "A refined asymptotic framework for dividend yield in predictive regressions," Economics Letters, Elsevier, vol. 138(C), pages 60-63.
- Ramazan Gencay & Nikola Gradojevic, 2009. "Errors-in-Variables Estimation with No Instruments," Working Paper series 30_09, Rimini Centre for Economic Analysis.
- Demetrescu, Matei, 2014. "Enhancing the local power of IVX-based tests in predictive regressions," Economics Letters, Elsevier, vol. 124(2), pages 269-273.
- Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.
- Vardhan, Harsh & Sinha, Pankaj, 2015. "Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach," MPRA Paper 64369, University Library of Munich, Germany, revised 10 May 2015.