We develop unit root tests using additional stationary covariates as suggested in Hansen (1995). However, we allow for the covariates to enter the model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988). We retain a linear...

This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...

Several widely used tests for a changing mean exhibit nonmonotonic power in ¯nite samples due to \incorrect" estimation of nuisance parameters under the alternative. In this paper, we study the issue of nonmonotonic power in testing for changing mean. We investigate the asymptotic power...

Several widely used tests for a changing mean exhibit nonmonotonic power in finite samples due to "incorrect" estimation of nuisance parameters under the alternative. In this paper, we study the issue of nonmonotonic power in testing for changing mean. We investigate the asymptotic power...

When testing for a change in mean of a time series, the null hypothesis is no change in mean. However, a change in mean causes a bias in the estimation of serial correlation parameters. This bias can cause nonmonotonic power to the point that if the change is big enough, power can go to zero. In...

This article examines the relationship between Research & Development (R&D) funding and the production of knowledge by academic chemists. Using articles published, either raw counts or adjusted for quality, we find a strong, positive causal effect of funding on knowledge production. This effect...

The impacts of two recent changes in US patent policy depend on the length of time it takes for an invention to go through the examination process. Concerns over the distributional effects of these changes were expressed during policy debates. We use data on U.S. patent applications and grants...

This article examines the relationship between Research & Development (R&D) funding and the production of knowledge by academic chemists. Using articles published, either raw counts or adjusted for quality, we find a strong, positive causal effect of funding on knowledge production. This effect...

We introduce a new weekly database of spot and forward US-UK exchange rates as well as interest rates to examine the integration of forward exchange markets during the classical gold standard period (1880-1914). Using threshold autoregressions (TAR), we estimate the transactions cost band of...

The impacts of two recent changes in US patent policy depend on the length of time it takes for an invention to go through the examination process. Concerns over the distributional effects of these changes were expressed during policy debates. We use data on U.S. patent applications and grants...