Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions
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This paper studies the properties of predictive regressions for asset returns in economic systems governed by persistent vector autoregressive dynamics. In particular, we allow for the state variables to be fractionally integrated, potentially of different orders, and for the returns to have a
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美国国家经济研究局创建时间：
2021-03-01
