Multiple-Predictor Regressions: Hypothesis Testing

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Testing predictive regression models with nonstationary regressors (2014, unknown): “That is, x t is stationary ( | ρ | < 1); see Viceira (1997), Amihud and Hurvich (2004), Paye and Timmermann (2006) and Amihud et al. (2009); or it is unit root or integrated ( ρ = 1), denoted by I(1); or it is local-to-unity or nearly integrated ( ρ = 1 + c / n , where c < 0), denoted by NI(1);…”
Robust econometric inference for stock return predictability (2011, unknown): “The notable exception is the iterative procedure of Amihud, Hurvich, and Wang (2009), which is based on the augmented regression method of Amihud and Hurvich (2004) and accommodates multiple regressors in a single-horizon predictive setup under the restriction that the predictors are stationary.”
Can investor sentiment be a momentum time-series predictor? Evidence from China (2017, methodology): “7 For brevity, we refer readers to Amihud et al. (2009) regarding the technical details on the iterative procedure. predictive regression is achieved by augmenting Eq.”
Investor sentiment aligned: : A powerful predictor of stock returns (2015, methodology): “The reduced-bias estimates of the AR parameters are computed by iterating on the Nicholls and Pope (1988) expression for the analytical bias of the OLS estimates (e.g., Amihud, Hurvich, and Wang, 2009).”