Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the … multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and … the multi-step time-varying coefficient predictive regression model, in which the predictive variables are stochastically …