Browsing by Author "Magdalinos, Tassos"

Now showing items 1-3 of 3

    • Book  

      Non-linearity induced weak instrumentation 

      Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2012)
    • Article  

      Nonlinearity Induced Weak Instrumentation 

      Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2014)
      In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be ...
    • Article  

      Robust econometric inference for stock return predictability 

      Kostakis, Alexandros; Magdalinos, Tassos; Stamatogiannis, Michalis P. (2015)
      This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to regressors' degree of persistence, ...