Andreou, Elena; Kasparis, Ioannis; Phillips, Peter C. B. - C.E.P.R. Discussion Papers - 2013
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...