Browsing Τμήμα Οικονομικών / Department of Economics by Author "Magdalinos, Tassos"
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Book
Non-linearity induced weak instrumentation
Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2012)
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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 ...
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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, ...