Package index

IVX estimation

Predictive regressions with persistent regressors, short and long horizon (Kostakis, Magdalinos & Stamatogiannis 2015, 2023).

ivx() print(<ivx>)

Fitting IVX Models

ivx_sys() print(<ivx_sys>) summary(<ivx_sys>)

Fitting Systems of IVX Predictive Regressions

Extensions

Modifications of the IVX estimator for specific error structures or targets.

ivx_ar() print(<ivx_ar>)

Fitting IVX-AR Models

ivx_ra() print(<ivx_ra>)

Fitting Residual-Augmented IVX Models

ivx_qr() print(<ivx_qr>) summary(<ivx_qr>)

Fitting IVX Quantile Predictive Regressions

ivx_iv() print(<ivx_iv>)

IV Predictability Tests with Combined Instruments

Robust and subsample inference

Wild bootstrap p-values and tests for pockets of predictability (Demetrescu et al. 2022, 2023).

ivx_boot() print(<ivx_boot>)

Wild Bootstrap Inference for IVX Models

ivx_qr_boot() print(<ivx_qr_boot>)

Moving Block Bootstrap for IVX-QR

ivx_episodic() print(<ivx_episodic>)

Subsample IVX Tests for Episodic Predictability

Non-IVX benchmarks

Reduced-bias OLS alternatives for stationary persistent predictors.

arm() print(<arm>)

Augmented Regression Method (Amihud, Hurvich & Wang)

hlt_test() hlt_test_fit() print(<hlt_test>)

Hybrid t-Test for Return Predictability (Harvey, Leybourne & Taylor)

el_test() el_test_fit() print(<el_test>)

Unified Empirical Likelihood Test for Predictability (Liu, Yang, Cai & Peng)

cy_test() cy_test_fit() print(<cy_test>)

Bonferroni Q-Test of Campbell and Yogo (2006)

elliott_cf() elliott_cf_fit() print(<elliott_cf>)

Control-Function Predictability Test of Elliott (2011)

Serial correlation tests

ac_test()

Autocorrelation tests

ac_test_wald() ac_test_lb() ac_test_bp() ac_test_bg()

Tests for autocorrelation

Fitter functions

Low-level functions taking a response and a design matrix.

ivx_fit() ivx_wfit()

Fitter Functions for IVX Models

ivx_ar_fit()

Fitter Functions for IVX-AR Models

ivx_ra_fit()

Fitter Function for Residual-Augmented IVX Models

ivx_qr_fit()

Fitter Function for IVX-QR Models

arm_fit()

Fitter Function for the Augmented Regression Method

ivx_iv_fit()

Fitter Function for IV Predictability Tests

ivx_sys_fit()

Fitter Function for Systems IVX Models

Methods

summary(<ivx>) print(<summary.ivx>)

Summarizing IVX Model Fits

summary(<ivx_ar>) print(<summary.ivx_ar>)

Summarizing IVX-AR Model Fits

vcov(<ivx>) vcov(<summary.ivx>)

Calculate Variance-Covariance Matrix for a Fitted Model Object

delta()

Calculate the delta coefficient

extract.ivx() extract.ivx_ar()

extract method for ivx objects

Data

kms

KMS Monthly data

kms_quarterly

KMS Quarterly data

monthly

Monthly dataset of KMS

quarterly

Quarterly dataset of KMS

ylpc

YLPC Quarterly data