In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio [PLR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...

We examine US housing price forecastability using a common factor approach based on a large panel of 122 economic time series. We find that a simple three-factor model generates an explanatory power of about 50% in one-quarter ahead in-sample forecasting regressions. The predictive power of the...

Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should cointegrate with a unit slope on futures prices, does not hold. However, these statistical methods are...

Employing the "small bandwidth" asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of a variety of bootstrap-based inference procedures associated with the kernel-based density-weighted averaged derivative estimator proposed by Powell, Stock, and...

This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood function of the transformed panel is the sum of the...

In this paper we analyze the limiting properties of the estimated parameters in a general class of asymmetric volatility models which are closely related to the traditional exponential GARCH model. The new representation has three main advantages over the traditional EGARCH: (1) It allows a much...