Title:

Transformed Regression-Based Long-Horizon Predictability Tests

Authors:

Matei Demetrescu (Technische Universitat Dortmund)
Paulo M. M. Rodrigues (U Nova)
A M Robert Taylor (U Essex)

Journal:

Journal of Econometrics

Year:

2023

Volume:

237

Number:

2

JEL codes:

E31 - Price Level; Inflation; Deflation
F31 - Foreign Exchange
O31 - Innovation and Invention: Processes and Incentives