Chen, Willa W.; Deo, Rohit S.; Yi, Yanping - In: Journal of Business & Economic Statistics 31 (2013) 4, pp. 525-533
The restricted likelihood has been found to provide a well-behaved likelihood ratio test in the predictive regression model even when the regressor variable exhibits almost unit root behavior. Using the weighted least squares approximation to the restricted likelihood obtained in Chen and Deo,...