) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to …

be eliminated. The size and power of this new test are examined. We find the size of this test to be accurate for several … time series models including the AR, GARCH and diffusion models. The power of this test is high in comparison to the …

power on data that includes breaks of opposite sign. We extend this test in two directions. First, we propose a new … mean or trend reversion. The simulation results show good power and satisfactory size of the new procedures. Using long … purchasing power parity from the application of unit root and structural change tests. We argue that the Bai and Perron test is …

operational empirically. Finally, the power and size distortions of this sequential test procedure are analysed with Monte …