Showing 1 - 10 of 41
Persistent link: https://www.econbiz.de/10010721632
This paper develops a new covariance-based test of orthogonality that may be attractive when regressors have roots close or equal to unity. In this case standard regression-based orthogonality tests can suffer from (i) size distortions and (ii) uncertainty regarding the appropriate model in...
Persistent link: https://www.econbiz.de/10005342319
Persistent regressors pose a common problem in predictive regressions. Tests of the forward rate unbiased hypothesis (FRUH) constitute a prime example. Standard regression tests that strongly reject FRUH have been questioned on the grounds of potential long-memory in the forward premium....
Persistent link: https://www.econbiz.de/10005343050
Recent literature has questioned statistical inference in predictive regressi on with persistent regressors, suggesting a possible explanation for puzzles suc h as the forward premium anomaly. We therefore revisit this puzzle using three a lternative econometric methods known to provide reliable...
Persistent link: https://www.econbiz.de/10005111344
This paper develops a new test of orthogonality based on a zero restriction on the covariance between the dependent variable and the predictor. The test provides a useful alternative to regression-based tests when conditioning variables have roots close or equal to unity. In this case standard...
Persistent link: https://www.econbiz.de/10005250224
Persistent link: https://www.econbiz.de/10005194299
This paper clarifies the empirical source of the debate on the effect of technology shocks on hours worked. We find that the contrasting conclusions from levels and differenced VAR specifications can be explained by a small, but important, low frequency co-movement between hours worked and...
Persistent link: https://www.econbiz.de/10008617068
Several recent empirical studies have been forced to reject exact 1:1 cointegration between spot and forward exchange rates. Theoretically, this is shown to provide a possible explanation for the puzzling negative estimates reported from spot-return-forward-premium regressions. In particular,...
Persistent link: https://www.econbiz.de/10005557433
This paper develops a new test of orthogonality based on a zero restriction on the covariance between the dependent variable and the predictor. The test provides a useful alternative to regression-based tests when conditioning variables have roots close or equal to unity. In this case standard...
Persistent link: https://www.econbiz.de/10005688521
Persistent link: https://www.econbiz.de/10005411770