1 citations · 3 across the 13 of their papers we have counts for
3 papers · 1 filter
A New Test for Market Efficiency and Uncovered Interest Parity
Richard T. Baillie, Francis X. Diebold, George Kapetanios +1
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parame…
High Dimensional Generalised Penalised Least Squares
Ilias Chronopoulos, Katerina Chrysikou, George Kapetanios
In this paper we develop inference for high dimensional linear models, with serially correlated errors. We examine Lasso under the assumption of strong mixing in the covariates and…
On Robust Inference in Time Series Regression
Richard T. Baillie, Francis X. Diebold, George Kapetanios +2
Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments. However, several major diffi…