Drawing statistical inference on the coefficients of a short- or long-horizon predictive regression with persistent regressors by using the IVX method of Magdalinos and Phillips (2009) and Kostakis, Magdalinos and Stamatogiannis (2015).
You can install the development version from GitHub with:
This is a basic example, lets load the data first:
# Monthly data from Kostakis et al (2014)
monthly %>%
names()
#> [1] "Date" "DE" "LTY" "DY" "DP" "TBL" "EP" "BM" "INF" "DFY"
#> [11] "NTIS" "TMS" "Ret"And then do the univariate estimation:
ivx(Ret ~ DP, data = monthly) %>%
summary()
#>
#> Call:
#> ivx(formula = Ret ~ DP, data = monthly, horizon = 1)
#>
#> Coefficients:
#> Estimate Wald Ind Pr(> chi)
#> DP 0.006489 2.031 0.154
#>
#> Joint Wald statistic: 2.031 on 1 DF, p-value 0.1541
ivx(Ret ~ DP, data = monthly, horizon = 4) %>%
summary()
#>
#> Call:
#> ivx(formula = Ret ~ DP, data = monthly, horizon = 4)
#>
#> Coefficients:
#> Estimate Wald Ind Pr(> chi)
#> DP 0.006931 2.271 0.132
#>
#> Joint Wald statistic: 2.271 on 1 DF, p-value 0.1318And the multivariate estimation, for one or multiple horizons:
ivx(Ret ~ DP + TBL, data = monthly) %>%
summary()
#>
#> Call:
#> ivx(formula = Ret ~ DP + TBL, data = monthly, horizon = 1)
#>
#> Coefficients:
#> Estimate Wald Ind Pr(> chi)
#> DP 0.006145 1.819 0.177
#> TBL -0.080717 1.957 0.162
#>
#> Joint Wald statistic: 3.644 on 2 DF, p-value 0.1617
ivx(Ret ~ DP + TBL, data = monthly, horizon = 4) %>%
summary()
#>
#> Call:
#> ivx(formula = Ret ~ DP + TBL, data = monthly, horizon = 4)
#>
#> Coefficients:
#> Estimate Wald Ind Pr(> chi)
#> DP 0.006579 2.045 0.153
#> TBL -0.073549 1.595 0.207
#>
#> Joint Wald statistic: 3.527 on 2 DF, p-value 0.1715Please note that the ‘ivx’ project is released with a Contributor Code of Conduct. By contributing to this project, you agree to abide by its terms.