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Under highly persistent regressors, the standard normal or chi-squared limiting distributions for the usual <jats:italic>t<\/jats:italic> and Wald statistics may, however, differ markedly from the actual finite-sample distributions which exhibit in particular noncentrality. Convergence to the limiting distributions is shown to occur at a rate depending on the choice of the IVX tuning parameters and can be very slow in practice. A characterization of the leading higher-order terms of the <jats:italic>t<\/jats:italic> statistic is provided for the simple regression case, which motivates finite-sample corrections. Monte Carlo simulations confirm the usefulness of the proposed methods.\n<\/jats:p>","DOI":"10.1017\/s0266466620000298","type":"journal-article","created":{"date-parts":[[2020,8,10]],"date-time":"2020-08-10T10:27:00Z","timestamp":1597055220000},"page":"769-793","source":"Crossref","is-referenced-by-count":8,"title":["FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS"],"prefix":"10.1017","volume":"37","author":[{"given":"Mehdi","family":"Hosseinkouchack","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Matei","family":"Demetrescu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2020,8,10]]},"reference":[{"key":"S0266466620000298_r18","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.04.011"},{"key":"S0266466620000298_r24","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00041-0"},{"key":"S0266466620000298_r19","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.08.002"},{"key":"S0266466620000298_r14","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608090038"},{"key":"S0266466620000298_r5","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.003"},{"key":"S0266466620000298_r3","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.05.008"},{"key":"S0266466620000298_r1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl021"},{"key":"S0266466620000298_r23","doi-asserted-by":"publisher","DOI":"10.1016\/S0167-7152(98)00247-8"},{"key":"S0266466620000298_r12","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu139"},{"key":"S0266466620000298_r2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.10.018"},{"key":"S0266466620000298_r21","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176348666"},{"key":"S0266466620000298_r17","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbv014"},{"key":"S0266466620000298_r8","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600008720"},{"key":"S0266466620000298_r10","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2011.652053"},{"key":"S0266466620000298_r16","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/74.3.535"},{"key":"S0266466620000298_r22","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9892.00243"},{"key":"S0266466620000298_r4","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466614000723"},{"key":"S0266466620000298_r13","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608090154"},{"key":"S0266466620000298_r9","doi-asserted-by":"publisher","DOI":"10.1111\/ectj.12001"},{"key":"S0266466620000298_r20","unstructured":"Phillips, P.C.B. & Magdalinos, T. 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