A joint test of predictability and structural break in predictive regressions
Author:
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s00181-024-02572-5.pdf
Reference27 articles.
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3. Bai J, Perron P (1998) Estimating and testing linear models with multiple structural changes. Econometrica 66:47–78
4. Cai Z, Chang SY (2023) A new test on asset return predictability with structural breaks. J Financ Econom. https://doi.org/10.1093/jjfinec/nbad018
5. Cai Z, Wang Y, Wang Y (2015) Testing instability in a predictive regression model with nonstationary regressors. Econom Theor 31(5):953–980
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