Phillips, Peter C.B.; Lee, Ji Hyung - In: Journal of Econometrics 177 (2013) 2, pp. 250-264
The paper proposes a novel inference procedure for long-horizon predictive regression with persistent regressors … vicinity of unity and apply the methods to long-horizon predictive regression. Existing methods in this model, which rely on …. As such they have many potential applications in predictive regression. In addition to asymptotics under the null …