If we want to test whether spread helps to predict output growth at horizon h, then: Why
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Question:
If we want to test whether spread helps to predict output growth at horizon h, then:
- Why and how do we estimate a regression?
- The test relies on a t-statistic, and the validity of the test relies on some assumptions, Which ones? How might this change with the horizon?
- Why do we need to use 'newey' instead of 'reg' when performing the test at h=8?
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