D. W. Andrews, Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables, Econometric Theory, vol.4, issue.03, pp.458-467, 1988.
DOI : 10.1214/aop/1176995772

A. Banerjee, D. F. Hendry, and G. E. Mizon, THE ECONOMETRIC ANALYSIS OF ECONOMIC POLICY, Oxford Bulletin of Economics and Statistics, vol.60, issue.Supplement, pp.573-600, 1996.
DOI : 10.1017/S0266466600012287

J. Boudoukh, M. Richardson, and R. F. Whitelaw, The Myth of Long-Horizon Predictability, Review of Financial Studies, vol.21, issue.4, pp.1577-1605, 2008.
DOI : 10.1093/rfs/hhl042

F. Busetti and A. Harvey, Testing for trend, Econometric Theory, vol.24, issue.1, pp.72-87, 2008.
DOI : 10.1017/s0266466608080055

J. Campbell and R. Shiller, The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, Review of Financial Studies, vol.1, issue.3, pp.195-228, 1988.
DOI : 10.1093/rfs/1.3.195

J. Y. Campbell and M. Yogo, Efficient tests of stock return predictability???, Journal of Financial Economics, vol.81, issue.1, pp.27-60, 2006.
DOI : 10.1016/j.jfineco.2005.05.008
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.194.7280

A. Carriero, T. E. Clark, and M. Marcellino, Bayesian VARs: Specification Choices and Forecast Accuracy, SSRN Electronic Journal, vol.30, issue.1, pp.46-73, 2015.
DOI : 10.2139/ssrn.1830163

G. Chevillon, Multistep forecasting in the presence of location shifts, International Journal of Forecasting, vol.32, issue.1, pp.121-158, 2016.
DOI : 10.1016/j.ijforecast.2015.04.004

G. Chevillon and D. F. Hendry, Non-parametric direct multi-step estimation for forecasting economic processes, International Journal of Forecasting, vol.21, issue.2, pp.201-219, 2005.
DOI : 10.1016/j.ijforecast.2004.08.004
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.631.9850

M. P. Clements and D. F. Hendry, MULTI-STEP ESTIMATION FOR FORECASTING, Oxford Bulletin of Economics and Statistics, vol.48, issue.3, pp.657-683, 1996.
DOI : 10.1111/j.1468-0084.1996.mp58004005.x

L. Pástor and R. F. Stambaugh, Predictive Systems: Living with Imperfect Predictors, The Journal of Finance, vol.54, issue.1, pp.1583-1628, 2009.
DOI : 10.1016/S0304-405X(99)00041-0

P. C. Phillips, Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression, Journal of Financial Econometrics, vol.13, issue.3, pp.521-555, 2015.
DOI : 10.1093/jjfinec/nbv014

P. C. Phillips and J. H. Lee, Predictive regression under various degrees of persistence and robust long-horizon regression, Journal of Econometrics, vol.177, issue.2, pp.250-264, 2013.
DOI : 10.1016/j.jeconom.2013.04.011

P. C. Phillips, Towards a unified asymptotic theory for autoregression, Biometrika, vol.74, issue.3, pp.535-547, 1987.
DOI : 10.1093/biomet/74.3.535

P. C. Phillips, Impulse response and forecast error variance asymptotics in nonstationary VARs, Journal of Econometrics, vol.83, issue.1-2, pp.21-56, 1998.
DOI : 10.1016/S0304-4076(97)00064-X
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.222.4540

B. Rossi, OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY, Econometric Theory, vol.55, issue.05, pp.962-990, 2005.
DOI : 10.2307/2288196

B. Rossi, TESTING LONG-HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE-ROGOFF PUZZLE*, International Economic Review, vol.64, issue.1, pp.61-92, 2005.
DOI : 10.1016/0304-3932(91)90034-L

M. S. Rozeff, Dividend yields are equity risk premiums, The Journal of Portfolio Management, vol.11, issue.1, pp.68-75, 1984.
DOI : 10.3905/jpm.1984.408980

F. Schorfheide, VAR forecasting under misspecification, Journal of Econometrics, vol.128, issue.1, pp.99-136, 2005.
DOI : 10.1016/j.jeconom.2004.08.009

R. Stambaugh, Predictive regressions, Journal of Financial Economics, vol.54, issue.3, pp.375-421, 1999.
DOI : 10.1016/S0304-405X(99)00041-0
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.199.3478

J. H. Stock, VAR, ERROR CORRECTION AND PRETEST FORECASTS AT LONG HORIZONS, Oxford Bulletin of Economics and Statistics, vol.61, issue.4, pp.685-701, 1996.
DOI : 10.1111/j.1468-0084.1996.mp58004006.x

J. H. Stock and M. W. Watson, Confidence sets in regressions with highly serially correlated regressors. mimeo, 1996.

W. Torous, R. Valkanov, and S. Yan, On Predicting Stock Returns with Nearly Integrated Explanatory Variables, The Journal of Business, vol.77, issue.4, pp.937-66, 2004.
DOI : 10.1086/422634

J. L. Turner, Local to unity, long-horizon forecasting thresholds for model selection in the AR(1), Journal of Forecasting, vol.58, issue.7, pp.513-539, 2004.
DOI : 10.1002/for.919

R. Valkanov, Long-horizon regressions: theoretical results and applications, Journal of Financial Economics, vol.68, issue.2, pp.201-233, 2003.
DOI : 10.1016/S0304-405X(03)00065-5

T. Vogelsang, Trend Function Hypothesis Testing in the Presence of Serial Correlation, Econometrica, vol.66, issue.1, pp.123-148, 1998.
DOI : 10.2307/2998543

A. A. Weiss, Multi-step estimation and forecasting in dynamic models, Journal of Econometrics, vol.48, issue.1-2, pp.135-149, 1991.
DOI : 10.1016/0304-4076(91)90035-C