Using the Almost Ideal Demand System specification we analyse whether UK public consumption expenditure decisions are compatible with traditional utility maximization postulates. Our empirical findings tend to support the validity of the constraints of homogeneity and symmetry.

Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a very persistent regressor with the aim of assessing the presence of predictability. Key complications that arise are the potential presence of endogeneity and the poor adequacy of...

This paper derives the joint moment generating function of two quadratic forms appearing in the OLS estimator from a dynamic panel data model. The result is then used to investigate the effect of the cross-section dimension on the asymptotic bias.

In this paper we revisit the results in Caner and Hansen (2001), where the authors obtained novel limiting distributions of Wald type test statistics for testing for the presence of threshold nonlinearities in autoregressive models containing unit roots. Using the same framework, we obtain a new...

We introduce a new nonparametric approach for estimating a simple varying coeffcient model with a unit root nonstationarity. Our method is based on a piecewise local least squares principle and is computationally simple to implement. We establish its asymptotic properties and evaluate its...

Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a very persistent regressor with the aim of assessing the presence of predictability. Key complications that arise are the potential presence of endogeneity and the poor adequacy of...