FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS
预测回归中基于 IVX 检验的有限样本尺寸控制
In predictive regressions with variables of unknown persistence, the use of extended IV (IVX) instruments leads to asymptotically valid inference. Under highly persistent regressors, the standard normal or chi-squared limiting distributions for the usual t and Wald statistics may, however, differ markedly from the actual finite-sample distributions which exhibit in particular noncentrality. Convergence to the limiting distributions is shown to occur at a rate depending on…