Bootstrapping nonstationary autoregressive processes with predictive regression models
C Katsouris - arXiv preprint arXiv:2307.14463, 2023 - arxiv.org
We establish the asymptotic validity of the bootstrap-based IVX estimator proposed by
Phillips and Magdalinos (2009) for the predictive regression model parameter based on a …
Phillips and Magdalinos (2009) for the predictive regression model parameter based on a …