A Dimensionality-Robust Test in Multiple Predictive Regression
Author:
Publisher
Elsevier BV
Reference57 articles.
1. Multiple-Predictor Regressions: Hypothesis Testing;Y Amihud;Review of Financial Studies,2009
2. Inference in Regression Models with Many Regressors;S Anatolyev;Journal of Econometrics,2012
3. Many Instruments and/or Regressors: A Friendly Guide;S Anatolyev;Journal of Economic Surveys,2019
4. Consistent Inference for Predictive Regressions in Persistent Economic Systems
5. The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets;T G Andersen;Forthcoming, Journal of Business and Economic Statistics,2019
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