Cover Image

Self-normalized tests for multistep conditional predictive ability

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Chen, Qitong, Lai, Shuwen
Format:	Preprint
Published:	2026
Subjects:	Statistics Theory Econometrics
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

The exact distribution of the conditional likelihood-ratio test in instrumental variables regression
by: Londschien, Malte
Published: (2025)

New robust inference for predictive regressions
by: Ibragimov, Rustam, et al.
Published: (2020)

Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic
by: Chen, Xiaohong, et al.
Published: (2020)

Inference on effect size after multiple hypothesis testing
by: Dzemski, Andreas, et al.
Published: (2025)

A nonparametric test for diurnal variation in spot correlation processes
by: Christensen, Kim, et al.
Published: (2024)

A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models
by: Bucci, Andrea
Published: (2024)

Enhanced power enhancements for testing many moment equalities: Beyond the $2$- and $\infty$-norm
by: Kock, Anders Bredahl, et al.
Published: (2024)

Frequentist properties of Bayesian inequality tests
by: Kaplan, David M., et al.
Published: (2016)

A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions
by: Reichold, Karsten, et al.
Published: (2022)

Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series
by: Hoga, Yannick, et al.
Published: (2025)

Weak-instrument-robust subvector inference in instrumental variables regression: A subvector Lagrange multiplier test and properties of subvector Anderson-Rubin confidence sets
by: Londschien, Malte, et al.
Published: (2024)

Optimal testing in a class of nonregular models
by: Shimizu, Yuya, et al.
Published: (2024)

Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity
by: Meitz, Mika, et al.
Published: (2022)

On the modelling and prediction of high-dimensional functional time series
by: Chang, Jinyuan, et al.
Published: (2024)

Limit theorems of matching estimators with a fixed number of matches
by: Chen, Songliang, et al.
Published: (2024)

Convolution-t Distributions
by: Hansen, Peter Reinhard, et al.
Published: (2024)

Optimal Estimation for General Gaussian Processes
by: Takabatake, Tetsuya, et al.
Published: (2025)

Semiparametric Conditional Factor Models in Asset Pricing
by: Chen, Qihui, et al.
Published: (2021)

Efficient Difference-in-Differences and Event Study Estimators
by: Chen, Xiaohong, et al.
Published: (2025)

Robust Priors in Nonlinear Panel Models with Individual and Time Effects
by: Yan, Zizhong, et al.
Published: (2026)

Approximate Least-Favorable Distributions and Nearly Optimal Tests via Stochastic Mirror Descent
by: Fernández, Andrés Aradillas, et al.
Published: (2025)

Empirical Bayes When Estimation Precision Predicts Parameters
by: Chen, Jiafeng
Published: (2022)

Gaussian approximation for maximum score and non-smooth M-estimators with multiway dependence
by: Chiang, Harold D., et al.
Published: (2026)

Fixed-order PCA: Theory for Overestimated Factor Models
by: Liao, Yuan, et al.
Published: (2026)

Generalized Autoregressive Multivariate Models: From Binary to Poisson
by: Bykhovskaya, Anna, et al.
Published: (2026)

Higher-Order Neyman Orthogonality in Moment-Condition Models
by: Bonhomme, Stéphane, et al.
Published: (2026)

The Hellinger Bounds on the Kullback-Leibler Divergence and the Bernstein Norm
by: Kaji, Tetsuya
Published: (2026)

Bootstrap consistency for general double/debiased machine learning estimators
by: Lin, Ziming, et al.
Published: (2026)

Penalized Likelihood for Dyadic Network Formation Models with Degree Heterogeneity
by: Yan, Zizhong, et al.
Published: (2026)

Testing for Endogeneity: A Moment-Based Bayesian Approach
by: Chib, Siddhartha, et al.
Published: (2026)

Refined Cluster Robust Inference
by: Gafarov, Bulat, et al.
Published: (2026)

Inference for Linear Systems with Unknown Coefficients
by: Bai, Yuehao, et al.
Published: (2026)

Power Bounds and Efficiency Loss for Asymptotically Optimal Tests in IV Regression
by: Moreira, Marcelo J., et al.
Published: (2026)

Trading-off Bias and Variance When the Size of the Treatment Effect is Bounded
by: de Chaisemartin, Clément
Published: (2021)

Normal Approximation in Large Network Models
by: Leung, Michael P., et al.
Published: (2019)

A sliced Wasserstein and diffusion approach to random coefficient models
by: Lim, Keunwoo, et al.
Published: (2025)

Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
by: Li, Degui, et al.
Published: (2025)

Inference in Experiments with Matched Pairs and Imperfect Compliance
by: Bai, Yuehao, et al.
Published: (2023)

A Consistent ICM-based $χ^2$ Specification Test
by: Jiang, Feiyu, et al.
Published: (2022)

Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps
by: Boniece, B. Cooper, et al.
Published: (2025)