Search results
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Title
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TESTING PREDICTABILITY OF ASSET RETURNS
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Author
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Wu, Li
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Date Created
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2014
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Subjects--Topical
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Statistics, Finance
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Description
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In this paper, a L2 type nonparametric test is developed to test a specific nonlinear parametric regression model with near-integrated regressors. The asymptotic distributions of the proposed test statistic under both null and alternative hypothes...