Predictive regressions are widely used in empirical economics and finance to investigate the Granger causality test, linear rational expectations hypothesis test, and market efficiency hypothesis. This paper develops a new unified predictability test regardless of the properties of predictors....

Using the augmented Dickey-Fuller test to verify the existence of a unit root in an autoregressive process often requires the correctly specified intercept, since the test statistics can be distinctive under different model specifications and lead to contradictory results at times. In this...