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Uniform test for predictive regression with AR errors
Li, Chenxue; Li, Deyuan; Peng, Liang - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 29-39
Persistent link: https://www.econbiz.de/10011704097
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Inferring the predictability induced by a persistent regressor in a predictive threshold model
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 202-217
Persistent link: https://www.econbiz.de/10011704166
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Forecasting the distribution of economic variables in a data-rich environment
Manzan, Sebastiano - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 144-164
Persistent link: https://www.econbiz.de/10011389997
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Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution
Taylor, James W. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 121-133
Persistent link: https://www.econbiz.de/10012176554
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A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
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R2 bounds for predictive models : what univariate properties tell us about multivariate predictability
Mitchell, James; Robertson, Donald; Wright, Stephen - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 681-695
Persistent link: https://www.econbiz.de/10012179363
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Long-horizon return regressions with historical volatility and other long-memory variables
Sizova, Natalia - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 546-559
Persistent link: https://www.econbiz.de/10010337850
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Uniform inference in predictive regression models
Chen, Willa W.; Deo, Rohit S.; Yi, Yanping - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 525-533
Persistent link: https://www.econbiz.de/10010337853
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Tests for forecast encompassing when forecasts depend on estimated regression parameters
West, Kenneth D. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 1, pp. 29-33
Persistent link: https://www.econbiz.de/10001543433
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Regime-specific predictability in predictive regressions
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 229-241
Persistent link: https://www.econbiz.de/10009657358