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Unified Tests for a Dynamic Predictive Regression

  • Published:2020-02-18 Issue:3 Volume:39 Page:684-699
  • ISSN:0735-0015
  • Container-title:Journal of Business & Economic Statistics
  • language:en
  • Short-container-title:Journal of Business & Economic Statistics

Author:

Yang Bingduo1,Liu Xiaohui2,Peng Liang3,Cai Zongwu4

Affiliation:

1. Lingnan (University) College, Sun Yat-sen University, Guangzhou, Guangdong, China

2. School of Statistics, Jiangxi University of Finance and Economics, Nanchang, Jiangxi, China

3. Department of Risk Management and Insurance, Georgia State University, Atlanta, GA

4. Department of Economics, University of Kansas, Lawrence, KS

Funder

Humanity and Social Science Youth Foundation of Ministry of Education of China

NSF of China

National Social Science Foundation of China

China Postdoctoral Science Foundation funded project

NSF of Jiangxi Province

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Cited by 7 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Penetrating sporadic return predictability;Journal of Econometrics;2023-11

2. A hybrid stock market prediction model based on GNG and reinforcement learning;Expert Systems with Applications;2023-10

3. A Unified Inference for Predictive Quantile Regression;Journal of the American Statistical Association;2023-06-05

4. A New Test on Asset Return Predictability with Structural Breaks;Journal of Financial Econometrics;2023-06-02

5. A new robust inference for predictive quantile regression;Journal of Econometrics;2023-05
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