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ivx: Robust Econometric Inference for Predictive Regressions

Kostas Vasilopoulos; Efthymios Pavlidis

Drawing statistical inference on the coefficients of a short- or long-horizon predictive regression with persistent regressors by using the IVX method of Magdalinos and Phillips (2009) <doi:10.1017/S0266466608090154> and Kostakis, Magdalinos and Stamatogiannis (2015) <doi:10.1093/rfs/hhu139>.

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Publication date:
August 19, 2019
DOI:
10.5281/zenodo.3371446

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Version v1.1.0 10.5281/zenodo.4562129 Feb 25, 2021
Version v1.0.1 10.5281/zenodo.3371446 Aug 19, 2019
Version v0.0.2 10.5281/zenodo.3371392 Aug 19, 2019
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