This paper examines the stability of coefficient estimates from weak-form and semi-strong form tests of efficiency in the 30-day forward exchange rate using Canadian/U.S. weekly and monthly data. The structural relationships are unstable and conclusions based on the full sample estimation can,...

This paper carries out a specification analysis of a test relation for the unbiasedness hypothesis using 30-day forward foreign exchange data from France, Italy, Japan, the United Kingdom, and West Germany. The results indicate that econometric problems exist for each country's test equation....

This paper investigates the behaviour of estimators based on the Kullback-Leibler information criterion (KLIC), as an alternative to the generalized method of moments (GMM). We first study the estimators in a Monte Carlo simulation model of consumption growth with power utility. Then we compare...

We outline in turn criticisms made by econometricians of the methods used in empirical business-cycle research and then criticisms made by business-cycle researchers of some methods used by econometricians. The aim is to clarify and in some cases correct these criticisms. Overall there is no...

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