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Predictive regressions for macroeconomic data

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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On asymptotic properties of bootstrap for AR(1) processes

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Testing predictive regression models with nonstationary regressors

inferredcites →https://doi.org/10.1016/j.jfineco.2002.11.002openalex-snapshot

Predicting returns with financial ratios

inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.008openalex-snapshot

Efficient tests of stock return predictability☆

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Predictive regressions

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Predictive Regressions: A Reduced-Bias Estimation Method

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Inference in Models with Nearly Integrated Regressors

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BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD

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TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS

inferredcites →https://doi.org/10.1093/biomet/75.2.237openalex-snapshot

Empirical Likelihood Ratio Confidence Intervals for a Single Functional

inferredcites →https://doi.org/10.1093/rfs/hhn056openalex-snapshot

Multiple-Predictor Regressions: Hypothesis Testing

inferredcites →https://doi.org/10.1111/j.1467-9868.2005.00507.xopenalex-snapshot

Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00679.xopenalex-snapshot

Optimal Inference in Regression Models with Nearly Integrated Regressors

inferredcites →https://doi.org/10.1201/9781420036152openalex-snapshot

Empirical Likelihood

inferredcites →https://doi.org/10.1214/aos/1176347494openalex-snapshot

Empirical Likelihood Ratio Confidence Regions

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Diagnosing Housing Fever with an Econometric Thermometer

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A Unit Root Test for an AR(1) Process with AR Errors by Using Random Weighted Bootstrap

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Statistical Inferences in a Partially Linear Model with Autoregressive Errors

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An Empirical Likelihood-based Portmanteau Test for the Autoregressive Model Regardless of Its Properties

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A perspective on recent methods on testing predictability of asset returns

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A new test of asset return predictability with an unstable predictor

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A unified test for predictability of asset returns regardless of properties of predicting variables

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A New Robust Inference for Predictive Quantile Regression

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Testing predictability of stock returns under possible bubbles

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TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS

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Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model

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A Unified Inference for Predictive Quantile Regression

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Towards a unified test for the intercept of autoregressive models

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Empirical likelihood-based unified confidence region for a predictive regression model

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Uniform Test for Predictive Regression With AR Errors

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Unified Tests for a Dynamic Predictive Regression

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Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model

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Unified Inference for Panel Autoregressive Models With Unobserved Grouped Heterogeneity

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Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach

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Unifying inference for semiparametric regression

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A New Test on Asset Return Predictability with Structural Breaks

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Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables

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A Unified Predictability Test Using Weighted Inference and Random Weighted Bootstrap

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Gaussian Inference in Predictive Regressions for Stock Returns

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Nonparametric regression with nearly integrated regressors under long-run dependence

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Diagnosing housing fever with an econometric thermometer

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A Unified test for the Intercept of a Predictive Regression Model*

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A Unified Test for the AR Error Structure of an Autoregressive Model

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Testing the Intercept of a Balanced Predictive Regression Model

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