This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, <em>N</em>, is large relative to the time dimension, <em>T</em>, of the return series. Two new tests of CAPM are proposed that exploit...

This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of the t-statistics when integrable functions of lagged dependent variable are used as instruments even if the original series are cross sectionally dependent. She claims that her...

A number of panel unit root tests that allow for cross section dependence have been proposed in the literature, notably by Bai and Ng (2002), Moon and Perron (2003) and Phillips and Sul (2002) who use orthogonalization type procedures to asymptotically eliminate the cross dependence of the...

The contingency table literature on tests for dependence among discrete multi-category variables assume that draws are independent, and there are no tests that account for serial dependencies ? a problem that is particularly important in economics and finance. This paper proposes a new test of...

This paper describes a simple extension of popular tests of equality of hazard rates in a two-sample or k-sample setup to a situation where the covariate under study is continuous. In other words, we test the null hypothesis that the hazard does not depend on the value of the covariate against...

We consider an alternative use of simulation in the context of using the Likelihood-Ratio statistic to test non-nested models. To date simulation has been used to estimate the Kullback-Leibler measure of closeness between two densities, which in turn ‘mean adjusts’ the Likelihood-Ratio...

This paper presents a new approach to portfolio optimisation that we call generalised mean-variance (GMV) analysis. One important case of this approach is based on the stocks m-tile (or quantile): if m = n, where n is the number of stocks, m-tile membership becomes rank. Our analysis is the rank...

This paper considers information criteria as model evaluation tools for nonlinear threshold models. Results concerning the consistency of information criteria in selecting the lag order of linear autoregressive models are extended to nonlinear autoregressive threshold models. Extensive Monte...