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Journal of Business & Economic Statistics Volume 35, 2017 - Issue 2: Regime Switching and Threshold Models
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Original Articles

Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model

Jesùs GonzaloDepartment of Economics, Universidad Carlos III de Madrid, 28903Getafe, Madrid, Spain
&
Jean-Yves PitarakisDepartment of Economics, University of Southampton, Southampton, SO17 1BJ, U.K.
Pages 202-217 | Received 01 Jan 2015, Published online: 13 Mar 2017

Citations (10)

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Read on this site (2)

Fukang Zhu, Mengya Liu, Shiqing Ling & Zongwu Cai. (2023) Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model. Journal of Business & Economic Statistics 41:1, pages 228-240.
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Matei Demetrescu, Julian S. Leppin & Stefan Reitz. (2021) Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions. Econometric Reviews 40:2, pages 177-196.
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Articles from other publishers (8)

Zongwu Cai & Seong Yeon Chang. (2023) A New Test on Asset Return Predictability with Structural Breaks. Journal of Financial Econometrics.
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Yundong Tu, Han-Ying Liang & Qiying Wang. (2022) Nonparametric inference for quantile cointegrations with stationary covariates. Journal of Econometrics 230:2, pages 453-482.
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Andros Kourtellos, Thanasis Stengos & Yiguo Sun. (2021) ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION. Econometric Theory 38:3, pages 562-595.
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Yayi Yan & Tingting Cheng. (2022) Factor-augmented forecasting regressions with threshold effects. The Econometrics Journal 25:1, pages 134-154.
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Anibal Emiliano Da Silva Neto, Jesús Gonzalo & Jean‐Yves Pitarakis. (2021) Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions*. Oxford Bulletin of Economics and Statistics 83:3, pages 713-741.
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Lixiong Yang. (2019) State-dependent biases and the quality of China’s preliminary GDP announcements. Empirical Economics 59:6, pages 2663-2687.
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Jesus Gonzalo & Jose Olmo. (2019) Differences Between Short- and Long-Term Risk Aversion: An Optimal Asset Allocation Perspective. Oxford Bulletin of Economics and Statistics 81:1, pages 42-61.
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Xiao-sai Liao, Zong-wu Cai & Hai-qiang Chen. (2018) A perspective on recent methods on testing predictability of asset returns. Applied Mathematics-A Journal of Chinese Universities 33:2, pages 127-144.
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