A Monte Carlo experiment is conducted to compare power properties of alternative tests for the martingale difference hypothesis. Overall, we find that the wild bootstrap automatic variance ratio test shows the highest power against linear dependence; while the generalized spectral test performs...

This paper proposes a new method of interval estimation for the long run response (or elasticity) parameter from a general linear dynamic model. We employ the bias- corrected bootstrap, in which small sample biases associated with the parameter estimators are adjusted in two stages of the...

This study measures the degree of short-horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market development. Two multiple-horizon variance ratio tests are employed to measure the degree of return...

This paper proposes a new method of interval estimation for the long run response (or elasticity) parameter from a general linear dynamic model. We employ the bias- corrected bootstrap, in which small sample biases associated with the parameter estimators are adjusted in two stages of the...

This study measures the degree of short-horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market development. Two multiple-horizon variance ratio tests are employed to measure the degree of return...

In this paper, we test the presence of stochastic trend in long series of US real GNP measured by Balke and Gordon (1989) and Romer (1989), using unit root tests robust against breaks and outliers. We apply two recent robust unit root tests proposed by Cavaliere and Georgiev (2009) and Lima and...

This article extends earlier efforts at redating the US industrial cycles for the prewar period (1890–1938) using the methodologies proposed by Bry and Boschan (1971) and Hamilton (1989) and based on the monthly industrial production index constructed by Miron and Romer (1990). The alternative...

This article extends earlier efforts at redating the US business cycles for the 1790-1928 period using the real Gross Domestic Product (GDP) constructed by Johnson and Williamson (2008). The resulting chronology alters more than 50% percent of the peaks and troughs identified by the NBER and...

Financial market participants and policy-makers can benefit from a better understanding of how shocks can affect volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude oil markets – Brent, West Texas Intermediate (WTI)...

This study examines the random walk hypothesis for the crude oil markets, using daily data over the period 1982-2008. The weak-form efficient market hypothesis for two crude oil markets (UK Brent and US West Texas Intermediate) is tested with non-parametric variance ratio tests developed by...