Transformed regression-based long-horizon predictability tests

We propose new tests for long-horizon predictability based on IVX estimation of a transformed regression which explicitly accounts for the over-lapping nature of the dependent variable in the long-horizon regression arising from temporal aggregation. To improve efficiency, we moreover incorporate th...

Full description

Saved in:

Bibliographic Details
Published in:	Journal of econometrics Vol. 237; no. 2; p. 105316
Main Authors:	Demetrescu, Matei, Rodrigues, Paulo M.M., Taylor, A.M. Robert
Format:	Journal Article
Language:	English
Published:	01.12.2023
Subjects:	econometrics heteroskedasticity inflation Monte Carlo method
ISSN:	0304-4076
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!