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Elusive return predictability: Discussion

Hendry, David F.; Reade, J. James - In: International Journal of Forecasting 24 (2008) 1, pp. 22-28

Persistent link: https://www.econbiz.de/10005429356

Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing

Spanos, Aris; Hendry, David F.; Reade, J. James - In: Oxford Bulletin of Economics and Statistics 70 (2008) s1, pp. 829-847

The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between "linear" and "log-linear" unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed...

Persistent link: https://www.econbiz.de/10005682445

Linear vs. log-linear unit-root specification : an application of mis-specification encompassing

Spanos, Aris; Hendry, David F.; Reade, J. James - In: Oxford bulletin of economics and statistics 70 (2008), pp. 829-847

Persistent link: https://www.econbiz.de/10003787677

Elusive return predictability : discussion

Hendry, David F.; Reade, J. James - In: International journal of forecasting 24 (2008) 1, pp. 22-28

Persistent link: https://www.econbiz.de/10003661179

Elusive return predictability: reply to the discussion

Timmermann, Allan - In: International journal of forecasting 24 (2008) 1, pp. 29-30

Persistent link: https://www.econbiz.de/10003661200

Forecasting : theory and practice

Petropoulos, Fotios; Apiletti, Daniele; Assimakopoulos, V. - In: International journal of forecasting 38 (2022) 3, pp. 705-871

Persistent link: https://www.econbiz.de/10013349395