NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
针对预测变量高度持久的情形，提出一种基于Whittle似然比近似的长期可预测性检验方法，在短期动态下保持稳健且具有较高检验功效，并通过模拟验证其性能。
We develop a method for long-run predictability testing in series Y by a persistent series X. We consider a class of tests based on the long-run behavior of these series that are robust to short-run dynamics and attempt to attain the highest possible power. The test is based on the Whittle approximation to the likelihood ratio that is adjusted to remain accurate across a range of persistence in X . We verify the properties of this test in small simulations and compare this test against a group of recently proposed methods.