Consistent Inference for Predictive Regressions in Persistent Economic Systems
收藏NBER2021-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w28568
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资源简介：
We study standard predictive regressions in economic systems governed by persistent vector autoregressive dynamics for the state variables. In particular, all or a subset of the variables may be fractionally integrated, which induces a spurious regression problem. We propose a new inference and
提供机构：
美国国家经济研究局
创建时间：
2021-03-01
