Predictive regression under various degrees of persistence and robust long-horizon regression

Keyphrases

• Autoregressive Root 20%
• Chi-square Test 40%
• Conventional Test 20%
• Inference Methods 20%
• Local Asymptotic Power 20%
• Local to Unity 40%
• Long-horizon Regressions 100%
• Parameter Space 20%
• Parametrization 20%
• Persistent Regressors 40%
• Power Properties 20%
• Predictive Process 20%
• Predictive Regression 100%
• Regressor 80%
• Robust Procedures 20%
• Scalar 20%
• Stock Return Predictability 20%

Mathematics

• Asymptotics 33%
• Chi-Square Testing 33%
• Inference Procedure 16%
• Parameter Space 16%
• Regressors 100%
• Robust Procedure 16%
• Wide Class 16%

Economics, Econometrics and Finance

• Capital Market Returns 20%
• Predictive Regression 100%