3 papers
econ.EM2025
Serial-Dependence and Persistence Robust Inference in Predictive Regressions
Jean-Yves Pitarakis
This paper introduces a new method for testing the statistical significance of estimated parameters in predictive regressions. The approach features a new family of test statistics…
stat.ME2025
Detecting Sparse Cointegration
Jesus Gonzalo, Jean-Yves Pitarakis
We propose a two-step procedure to detect cointegration in high-dimensional settings, focusing on sparse relationships. First, we use the adaptive LASSO to identify the small subse…
econ.EM2023
Direct Multi-Step Forecast based Comparison of Nested Models via an Encompassing Test
Jean-Yves Pitarakis
We introduce a novel approach for comparing out-of-sample multi-step forecasts obtained from a pair of nested models that is based on the forecast encompassing principle. Our propo…