When a k period future return is regressed on a current variable such as the log dividend yield, the marginal significance level of the t-test that the return is un- predictable typically increases over some range of future return horizons, k. Local asymptotic power analysis shows that the power...

Accurate estimation of the dominant root of a stationary but persistent time series are required to determine the speed at which economic time series, such as real exchange rates or interest rates, adjust towards their mean values. In practice, accuracy is hampered by downward small- sample...