This paper investigates the spurious effect in forecasting asset returns when signals from technical trading rules are used as predictors. Against economic intuition, the simulation result shows that, even if past information has no predictive power, buy or sell signals based on the difference...

This paper studies robust inference in unit root and cointegration models. The analysis covers a range of important inference problems including testing stationarity against unit roots, testing for structure change in nonstationary regressions, and testing for cointegration. We analyze these...

We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each...

In this paper, we propose two parametric alternatives to the standard GJR-GARCH model of Glosten et al. (1993), based on additive and multiplicative decompositions of the variance. They allow the variance of the model to have a smooth time-varying structure. The suggested parameterizations...

A well-known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be globally identified by the implied unconditional moments. In this paper, we propose an approach to constructing a continuum of unconditional moments that can ensure parameter...

In this paper, we develop two cointegration tests for two varying coefficient cointegration regression models, respectively. Our test statistics are residual based. We derive the asymptotic distributions of test statistics under the null hypothesis of cointegration and show that they are...

We propose non-nested hypothesis tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic selection of the order for a Box–Pierce (1970) test statistic or the test statistic of Hong (1996). The heteroskedasticity and autocorrelation-consistent (HAC) critical values from Lee (2007)...

This paper extends the cross-sectionally augmented panel unit root test (CIPS) proposed by Pesaran (2007) to the case of a multifactor error structure, and proposes a new panel unit root test based on a simple average of cross-sectionally augmented Sargan–Bhargava statistics (CSB). The basic...

Mild factor loading instability, particularly if sufficiently independent across the different constituent variables, does not affect the estimation of the number of factors, nor subsequent estimation of the factors themselves (see e.g.  Stock and Watson (2009)). This result does not hold in...