University of Melbourne - Department of Economics
Short memory, long memory, fractional processes, asymptotic normality
Predictive Regression; Single-Index Model; Hermite Orthogonal Estimation; Dual Super-Consistency Rates; Co-Moving Predictors
Unit root test, stationarity test, near integration
Box-Pierce tests, heteroskedasticity, q-dependence
Predictive Regressions; Nonlinearities; Single-Index Models; Hermite Orthogonal Series; Co-Integrated Predictors; Stock Return Predictability
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