This paper offers a novel way of testing whether prespecified risk variables command significant risk premia. Specifically, we construct portfolios of securities to mimick the variation in the chosen risk variables, and we estimate the conditional and unconditional expected returns on these...

This paper considers the construction of median unbiased forecasts for near-integrated AR( p ) processes. It is well known that the OLS estimation in AR models produces downward biased parameter estimates. When the largest AR root is near unity, the multi-step forecast iteration leads to severe...

In this paper, I examine the properties of the class of generalized empirical likelihood estimators of moment-condition models. These nonparametric likelihood estimators satisfy exactly the moment conditions and automatically remove any bias due to a lack of centering. Moreover, the bias of the...

Many economic time series are charecterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for the impulse response functions of nearly nonstationary processes. The method is based on...