Published August 19, 2019
| Version v1.0.1
Software
Open
ivx: Robust Econometric Inference for Predictive Regressions
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Description
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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kvasilopoulos/ivx-v1.0.1.zip
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(1.4 MB)
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Additional details
Related works
- Is supplement to
- https://github.com/kvasilopoulos/ivx/tree/v1.0.1 (URL)