{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,20]],"date-time":"2025-12-20T21:52:16Z","timestamp":1766267536228},"reference-count":87,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2020,4,27]],"date-time":"2020-04-27T00:00:00Z","timestamp":1587945600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2021,2]]},"abstract":"<jats:p>We develop a method for long-run predictability testing in series Y by a persistent series X. We consider a class of tests based on the long-run behavior of these series that are robust to short-run dynamics and attempt to attain the highest possible power. The test is based on the Whittle approximation to the likelihood ratio that is adjusted to remain accurate across a range of persistence in<jats:italic>X<\/jats:italic>. We verify the properties of this test in small simulations and compare this test against a group of recently proposed methods.<\/jats:p>","DOI":"10.1017\/s0266466620000079","type":"journal-article","created":{"date-parts":[[2020,4,27]],"date-time":"2020-04-27T08:22:21Z","timestamp":1587975741000},"page":"82-137","source":"Crossref","is-referenced-by-count":1,"title":["NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS"],"prefix":"10.1017","volume":"37","author":[{"given":"Natalia","family":"Sizova","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2020,4,27]]},"reference":[{"volume-title":"Circulant Matrices","year":"1979","author":"Davis","key":"S0266466620000079_r13"},{"key":"S0266466620000079_r27","doi-asserted-by":"crossref","first-page":"130","DOI":"10.2307\/3212501","article-title":"The asymptotic theory of linear time-series models","volume":"10","author":"Hannan","year":"1973a","journal-title":"Journal of Applied Probability"},{"key":"S0266466620000079_r78","doi-asserted-by":"crossref","first-page":"375","DOI":"10.1016\/S0304-405X(99)00041-0","article-title":"Predictive regressions","volume":"54","author":"Stambaugh","year":"1999","journal-title":"Journal of Financial Economics"},{"key":"S0266466620000079_r82","doi-asserted-by":"crossref","DOI":"10.1155\/2009\/802975","article-title":"Spurious regression","author":"Ventosa-Santaul\u00e0ria","year":"2009","journal-title":"Journal of Probability and Statistics"},{"key":"S0266466620000079_r44","doi-asserted-by":"crossref","first-page":"1506","DOI":"10.1093\/rfs\/hhu139","article-title":"Robust econometric inference for stock return predictability","volume":"28","author":"Kostakis","year":"2015","journal-title":"Review of Financial Studies"},{"key":"S0266466620000079_r16","doi-asserted-by":"crossref","first-page":"312","DOI":"10.1093\/jjfinec\/nbp002","article-title":"A new look at the forward premium puzzle","volume":"7","author":"Nikolay","year":"2009","journal-title":"Journal of Financial Econometrics"},{"key":"S0266466620000079_r77","doi-asserted-by":"crossref","first-page":"261","DOI":"10.1016\/j.jempfin.2014.03.002","article-title":"A frequency-domain alternative to long-horizon regressions with application to return predictability","volume":"28","author":"Sizova","year":"2014","journal-title":"Journal of Empirical Finance"},{"key":"S0266466620000079_r29","doi-asserted-by":"crossref","first-page":"489","DOI":"10.1017\/S0266466600013189","article-title":"Convergence to stochastic integrals for dependent heterogenous processes","volume":"8","author":"Hansen","year":"1992","journal-title":"Econometric Theory"},{"key":"S0266466620000079_r57","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1111\/j.1368-423X.2010.00323.x","article-title":"Fully modified narrow-band least squares estimation of weak fractional cointegration","volume":"14","author":"Nielsen","year":"2011","journal-title":"Econometrics Journal"},{"key":"S0266466620000079_r81","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1016\/S0304-405X(03)00065-5","article-title":"Long-horizon regressions: Theoretical results and applications","volume":"68","author":"Valkanov","year":"2003","journal-title":"Journal of Financial Economics"},{"key":"S0266466620000079_r47","doi-asserted-by":"crossref","first-page":"137","DOI":"10.1111\/1467-9892.00043","article-title":"Consistency of the averaged cross-periodogram in long memory series","volume":"18","author":"Lobato","year":"1997","journal-title":"Journal of Time Series Analysis"},{"key":"S0266466620000079_r48","first-page":"334","volume-title":"Time Series with Long Memory","author":"Marinucci","year":"2003"},{"key":"S0266466620000079_r58","doi-asserted-by":"crossref","first-page":"639","DOI":"10.1016\/j.jeconom.2005.06.009","article-title":"A bootstrap theory for weakly integrated processes","volume":"133","author":"Park","year":"2006","journal-title":"Journal of Econometrics"},{"volume-title":"Hypothesis Testing in Times Series Analysis","year":"1951","author":"Whittle","key":"S0266466620000079_r87"},{"key":"S0266466620000079_r18","doi-asserted-by":"crossref","first-page":"771","DOI":"10.3982\/ECTA10535","article-title":"Nearly optimal tests when a nuisance parameter is present under the null hypothesis","volume":"83","author":"Elliott","year":"2015","journal-title":"Econometrica"},{"key":"S0266466620000079_r55","doi-asserted-by":"crossref","first-page":"979","DOI":"10.3982\/ECTA6814","article-title":"Testing models of low-frequency variability","volume":"76","author":"M\u00fcller","year":"2008","journal-title":"Econometrica"},{"key":"S0266466620000079_r19","doi-asserted-by":"crossref","first-page":"813","DOI":"10.2307\/2171846","article-title":"Efficient tests for an autoregressive unit root","volume":"64","author":"Elliott","year":"1996","journal-title":"Econometrica"},{"key":"S0266466620000079_r65","first-page":"1177","article-title":"On","volume":"82","author":"Phillips","year":"2014a","journal-title":"Econometrica"},{"key":"S0266466620000079_r62","doi-asserted-by":"crossref","first-page":"1021","DOI":"10.2307\/1911357","article-title":"Regression theory for near-integrated time series","volume":"56","author":"Phillips","year":"1988","journal-title":"Econometrica"},{"key":"S0266466620000079_r72","doi-asserted-by":"crossref","first-page":"515","DOI":"10.1214\/aos\/1176325382","article-title":"Semiparametric analysis of long-memory time series","volume":"22","author":"Robinson","year":"1994","journal-title":"Annals of Statistics"},{"key":"S0266466620000079_r66","doi-asserted-by":"crossref","first-page":"210","DOI":"10.1016\/j.jeconom.2013.08.022","article-title":"Optimal estimation of cointegrated systems with irrelevant instruments","volume":"178","author":"Phillips","year":"2014b","journal-title":"Journal of Econometrics"},{"key":"S0266466620000079_r25","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton","year":"1994"},{"key":"S0266466620000079_r32","doi-asserted-by":"crossref","first-page":"949","DOI":"10.1017\/S026646661700038X","article-title":"Simple, robust, and accurate f and t tests in cointegrated systems","volume":"34","author":"Hwang","year":"2018","journal-title":"Econometric Theory"},{"key":"S0266466620000079_r67","doi-asserted-by":"crossref","first-page":"99","DOI":"10.2307\/2297545","article-title":"Statistical inference in instrumental variables regression with I(1)","volume":"57","author":"Phillips","year":"1990","journal-title":"The Review of Economic Studies"},{"key":"S0266466620000079_r37","doi-asserted-by":"crossref","first-page":"681","DOI":"10.1111\/j.1468-0262.2006.00679.x","article-title":"Optimal inference in regression models with nearly integrated regressors","volume":"74","author":"Jansson","year":"2006","journal-title":"Econometrica"},{"key":"S0266466620000079_r1","doi-asserted-by":"crossref","first-page":"196","DOI":"10.1016\/j.jeconom.2012.01.017","article-title":"Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity","volume":"169","author":"Andrews","year":"2012","journal-title":"Journal of Econometrics"},{"key":"S0266466620000079_r56","unstructured":"Moreira, M.J. , Mour\u00e3o, R. , & Moreira, H. (2014) A Critical Value Function Approach, with an Application to Persistent Time-Series. Centre for Microdata Methods and Practice Working Paper, The Institute for Fiscal Studies, UCL."},{"key":"S0266466620000079_r3","doi-asserted-by":"crossref","first-page":"349","DOI":"10.1016\/j.jeconom.2007.11.003","article-title":"Long-run risk-return trade-offs","volume":"143","author":"Bandi","year":"2008","journal-title":"Journal of Econometrics"},{"key":"S0266466620000079_r45","doi-asserted-by":"crossref","first-page":"447","DOI":"10.1093\/biomet\/ass088","article-title":"Penalized multivariate whittle likelihood for power spectrum estimation","volume":"100","author":"Krafty","year":"2013","journal-title":"Biometrika"},{"key":"S0266466620000079_r36","doi-asserted-by":"crossref","first-page":"254","DOI":"10.1017\/S0266466603192031","article-title":"Multistep prediction in autoregressive processes","volume":"19","author":"Ing","year":"2003","journal-title":"Econometric Theory"},{"key":"S0266466620000079_r4","doi-asserted-by":"crossref","first-page":"875","DOI":"10.1017\/S0022109016000302","article-title":"New evidence on the forward premium puzzle","volume":"51","author":"Boudoukh","year":"2016","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"S0266466620000079_r64","doi-asserted-by":"crossref","first-page":"104","DOI":"10.1016\/j.jeconom.2006.05.017","article-title":"Unit root log periodogram regression","volume":"138","author":"Phillips","year":"2007","journal-title":"Journal of Econometrics"},{"key":"S0266466620000079_r20","doi-asserted-by":"crossref","first-page":"672","DOI":"10.1017\/S0266466600008720","article-title":"Inference in time series regression when the order of integration of a regressor is unknown","volume":"10","author":"Elliott","year":"1994","journal-title":"Econometric Theory"},{"key":"S0266466620000079_r53","doi-asserted-by":"crossref","first-page":"66","DOI":"10.1016\/j.jeconom.2012.09.006","article-title":"Low-frequency robust cointegration testing","volume":"174","author":"M\u00fcller","year":"2013","journal-title":"Journal of Econometrics"},{"key":"S0266466620000079_r23","doi-asserted-by":"crossref","first-page":"424","DOI":"10.2307\/1912791","article-title":"Investigating causal relations by econometric models and cross-spectral methods","volume":"37","author":"Granger","year":"1969","journal-title":"Econometrica"},{"volume-title":"Unit Roots Structural Breaks and Trends","year":"1994","author":"Stock","key":"S0266466620000079_r79"},{"volume-title":"Time Series: Data Analysis and Theory","year":"1975","author":"Brillinger","key":"S0266466620000079_r5"},{"key":"S0266466620000079_r6","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1016\/j.jfineco.2005.05.008","article-title":"Efficient tests of stock return predictability","volume":"81","author":"Campbell","year":"2006","journal-title":"Journal of Financial Economics"},{"key":"S0266466620000079_r28","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1007\/BF00533484","article-title":"Central limit theorems for time series regression","volume":"26","author":"Hannan","year":"1973b","journal-title":"Zeitschrift f\u00fcr Wahrscheinlichkeitstheorie und Verwandte Gebiete"},{"key":"S0266466620000079_r7","doi-asserted-by":"crossref","first-page":"1131","DOI":"10.1017\/S0266466600009981","article-title":"Inference in models with nearly integrated regressors","volume":"11","author":"Cavanagh","year":"1995","journal-title":"Econometric Theory"},{"key":"S0266466620000079_r14","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4612-4842-2","volume-title":"Parameter Estimation and Hypothesis Testing in Spectral Analysis of Stationary Time Series","author":"Dzhaparidze","year":"1986"},{"key":"S0266466620000079_r69","doi-asserted-by":"crossref","first-page":"224","DOI":"10.1111\/j.1467-9892.2007.00554.x","article-title":"Properties of the sieve boostrap for fractionally integrated and non-invertible processes","volume":"29","author":"Poskit","year":"2007","journal-title":"Journal of Time Series Analysis"},{"key":"S0266466620000079_r10","doi-asserted-by":"crossref","first-page":"243","DOI":"10.1016\/S0304-4076(01)00100-2","article-title":"Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series","volume":"106","author":"Davidson","year":"2002","journal-title":"Journal of Econometrics"},{"key":"S0266466620000079_r61","doi-asserted-by":"crossref","first-page":"45","DOI":"10.1017\/S0266466600004126","article-title":"Asymptotic expansions in nonstationary vector autoregressions","volume":"3","author":"Phillips","year":"1987","journal-title":"Econometric Theory"},{"key":"S0266466620000079_r33","doi-asserted-by":"crossref","first-page":"1283","DOI":"10.1111\/j.1468-0262.2005.00616.x","article-title":"Estimating long memory in volatility","volume":"73","author":"Hurvich","year":"2005","journal-title":"Econometrica"},{"key":"S0266466620000079_r24","doi-asserted-by":"crossref","DOI":"10.1515\/9781400875528","volume-title":"Spectral Analysis of Economic Time Series","author":"Granger","year":"1964"},{"key":"S0266466620000079_r59","doi-asserted-by":"crossref","first-page":"971","DOI":"10.1214\/aos\/1176348666","article-title":"Asymptotics for linear processes","volume":"20","author":"Phillips","year":"1992","journal-title":"Annals of Statistics"},{"key":"S0266466620000079_r83","doi-asserted-by":"crossref","first-page":"18","DOI":"10.1080\/07350015.2000.10524844","article-title":"Stock returns and dividend yields revisited: A new way to look at an old problem","volume":"18","author":"Wolf","year":"2000","journal-title":"Journal of Business and Economic Statistics"},{"volume-title":"Independent and Stationary Sequences of Random","year":"1971","author":"Ibragimov","key":"S0266466620000079_r34"},{"key":"S0266466620000079_r38","doi-asserted-by":"crossref","first-page":"818","DOI":"10.1017\/S0266466600009907","article-title":"Some aspects of asymptotic theory with applications to time series models","volume":"11","author":"Jeganathan","year":"1995","journal-title":"Econometric Theory"},{"key":"S0266466620000079_r21","first-page":"402","article-title":"Long-run neutrality and superneutrality in an ARIMA framework","volume":"83","author":"Fisher","year":"1993","journal-title":"The American Economic Review"},{"key":"S0266466620000079_r86","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1111\/j.2517-6161.1953.tb00131.x","article-title":"The analysis of multiple stationary time series","volume":"15","author":"Whittle","year":"1953","journal-title":"Journal of the Royal Statistical Society Series B (Methodological)"},{"key":"S0266466620000079_r68","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4612-1554-7","volume-title":"Subsampling","author":"Politis","year":"1999"},{"key":"S0266466620000079_r12","doi-asserted-by":"crossref","first-page":"1762","DOI":"10.1214\/aos\/1015957480","article-title":"A likelihood approximation for locally stationary processes","volume":"28","author":"Dahlhaus","year":"2000","journal-title":"Annals of Statistics"},{"key":"S0266466620000079_r15","doi-asserted-by":"crossref","first-page":"473","DOI":"10.2307\/2297602","article-title":"Multiple time series regression with integrated processes","volume":"53","author":"Durlauf","year":"1986","journal-title":"Review of Economic Studies"},{"key":"S0266466620000079_r70","doi-asserted-by":"crossref","first-page":"323","DOI":"10.1016\/0304-405X(89)90086-X","article-title":"Drawing inferences from statistics based on multi-year asset","volume":"25","author":"Richardson","year":"1989","journal-title":"Journal of Financial Economics"},{"key":"S0266466620000079_r49","doi-asserted-by":"crossref","first-page":"1809","DOI":"10.1111\/j.1468-0262.2004.00554.x","article-title":"Consistent testing of cointegrating relationships","volume":"72","author":"Marmol","year":"2004","journal-title":"Econometrica"},{"key":"S0266466620000079_r80","unstructured":"Stock, J. & Watson, M. (1996) Confidence Sets in Regressions with Highly Serially Correlated Regressors. Working Paper, Harvard University."},{"key":"S0266466620000079_r42","doi-asserted-by":"crossref","unstructured":"Kapetanios, G. & Papailias, F. (2011) Block Bootstrap and Long Memory. Working papers 679, School of Economics and Finance, Queen Mary University of London.","DOI":"10.2139\/ssrn.1865826"},{"key":"S0266466620000079_r54","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1016\/0304-3932(90)90046-7","article-title":"What does the term structure of interest rates tell us about future inflation?","volume":"25","author":"Mishkin","year":"1990","journal-title":"Journal of Monetary Economics"},{"key":"S0266466620000079_r74","doi-asserted-by":"crossref","first-page":"546","DOI":"10.1080\/07350015.2013.827985","article-title":"Long-horizon return regressions with historical volatility","volume":"31","author":"Sizova","year":"2013","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466620000079_r63","first-page":"413","volume-title":"Nonparametric and Semiparametric Methods in Economics and Statistics","author":"Phillips","year":"1991"},{"key":"S0266466620000079_r73","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780199257294.001.0001","volume-title":"Time Series with Long Memory","author":"Robinson","year":"2003"},{"key":"S0266466620000079_r85","doi-asserted-by":"crossref","first-page":"87","DOI":"10.1111\/1467-9892.00127","article-title":"Gaussian semiparametric estimation of nonstationary time series","volume":"20","author":"Velasco","year":"1999","journal-title":"Journal of Time Series Analysis"},{"key":"S0266466620000079_r30","doi-asserted-by":"crossref","first-page":"815","DOI":"10.1017\/S0022109011000135","article-title":"New methods for inference in long-horizon regressions","volume":"46","author":"Hjalmarsson","year":"2011","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"S0266466620000079_r35","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4612-6275-6","volume-title":"Gaussian Random Processes","author":"Ibragimov","year":"1978"},{"key":"S0266466620000079_r71","doi-asserted-by":"crossref","first-page":"850","DOI":"10.1086\/696277","article-title":"Government spending multipliers in good times and in bad: Evidence from U.S. historical data","volume":"126","author":"Ramey","year":"2018","journal-title":"Journal of Political Economy"},{"volume-title":"Holden-Day Series in Time Series Analysis","year":"1967","author":"Rozanov","key":"S0266466620000079_r75"},{"key":"S0266466620000079_r51","doi-asserted-by":"crossref","first-page":"1411","DOI":"10.1111\/j.1468-0262.2007.00798.x","article-title":"Uniform inference in autoregressive models","volume":"75","author":"Mikusheva","year":"2007","journal-title":"Econometrica"},{"key":"S0266466620000079_r17","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1016\/j.jeconom.2014.03.007","article-title":"Pre and post break parameter inference","volume":"180","author":"Elliott","year":"2014","journal-title":"Journal of Econometrics"},{"key":"S0266466620000079_r100","unstructured":"Magdalinos, T. & Phillips, P.C.B. (2009) Econometric Inference in the Vicinity of Unity. CoFie Working Paper, Singapore Management University."},{"volume-title":"Testing Statistical Hypotheses","year":"2005","author":"Lehmann","key":"S0266466620000079_r46"},{"key":"S0266466620000079_r11","doi-asserted-by":"crossref","first-page":"1067","DOI":"10.1111\/1468-0262.00319","article-title":"Band spectral regression with trending data","volume":"70","author":"Corbae","year":"2002","journal-title":"Econometrica"},{"key":"S0266466620000079_r84","doi-asserted-by":"crossref","first-page":"210","DOI":"10.1017\/S0266466600012032","article-title":"Some invariance principles and central limit theorems for dependent heterogeneous processes","volume":"4","author":"Wooldridge","year":"1988","journal-title":"Econometric Theory"},{"key":"S0266466620000079_r31","doi-asserted-by":"crossref","first-page":"92","DOI":"10.1016\/j.frl.2006.12.002","article-title":"Fully modified estimation with nearly integrated regressors","volume":"4","author":"Hjalmarsson","year":"2007","journal-title":"Finance Research Letters"},{"key":"S0266466620000079_r52","doi-asserted-by":"crossref","first-page":"173","DOI":"10.3982\/ECTA9371","article-title":"One-dimensional inference in autoregressive models with the potential presence of a unit root","volume":"80","author":"Mikusheva","year":"2012","journal-title":"Econometrica"},{"key":"S0266466620000079_r39","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"The Time Series Analysis","author":"Hamilton","year":"1994"},{"key":"S0266466620000079_r22","doi-asserted-by":"crossref","first-page":"1455","DOI":"10.1093\/rfs\/hhm014","article-title":"A comprehensive look at the empirical performance of equity premium prediction","volume":"21","author":"Goyal","year":"2008","journal-title":"The Review of Financial Studies"},{"key":"S0266466620000079_r43","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1007\/s13171-011-0003-3","article-title":"Properties of a block bootstrap under long-range dependence","volume":"73","author":"Kim","year":"2012","journal-title":"Sankhya A"},{"key":"S0266466620000079_r2","doi-asserted-by":"crossref","first-page":"241","DOI":"10.1016\/j.jeconom.2008.08.015","article-title":"Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments","volume":"146","author":"Andrews","year":"2008","journal-title":"Journal of Econometrics"},{"key":"S0266466620000079_r9","doi-asserted-by":"crossref","first-page":"343","DOI":"10.1016\/j.jeconom.2005.03.018","article-title":"Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting","volume":"133","author":"Christensen","year":"2006","journal-title":"Journal of Econometrics"},{"key":"S0266466620000079_r40","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1214\/aop\/1176993379","article-title":"A functional central limit theorem for weakly dependent sequences of random variables","volume":"12","author":"Herrndorf","year":"1984","journal-title":"The Annals of Probability"},{"key":"S0266466620000079_r41","doi-asserted-by":"crossref","first-page":"2143","DOI":"10.1111\/0022-1082.00184","article-title":"A unified theory of underreaction, momentum trading, and overreaction in asset markets","volume":"54","author":"Hong","year":"1999","journal-title":"The Journal of Finance"},{"key":"S0266466620000079_r50","doi-asserted-by":"crossref","first-page":"620","DOI":"10.1214\/aop\/1176996608","article-title":"Dependent central limit theorems and invariance principles","volume":"2","author":"McLeish","year":"1974","journal-title":"The Annals of Probability"},{"key":"S0266466620000079_r26","doi-asserted-by":"crossref","first-page":"594","DOI":"10.1162\/003465399558463","article-title":"The grid bootstrap and the autoregressive model","volume":"81","author":"Hansen","year":"1999","journal-title":"The Review of Economics and Statistics"},{"key":"S0266466620000079_r8","unstructured":"Chiburis, R.C. (2009) Approximately most powerful tests for moment inequalities. Chapter of Ph.D. dissertation, Department of Economics, Princeton University."},{"key":"S0266466620000079_r60","doi-asserted-by":"crossref","first-page":"535","DOI":"10.1093\/biomet\/74.3.535","article-title":"Towards a unified asymptotic theory for autoregression","volume":"74","author":"Phillips","year":"1987","journal-title":"Biometrika"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466620000079","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,4]],"date-time":"2024-08-04T19:08:56Z","timestamp":1722798536000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466620000079\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,4,27]]},"references-count":87,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2021,2]]}},"alternative-id":["S0266466620000079"],"URL":"https:\/\/doi.org\/10.1017\/s0266466620000079","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"type":"print","value":"0266-4666"},{"type":"electronic","value":"1469-4360"}],"subject":[],"published":{"date-parts":[[2020,4,27]]}}}