This paper extends recent research on the behaviour of the t-statistic in a long-horizon regression (LHR). We assume that the explanatory and dependent variables are generated according to the following models: a linear trend stationary process, a broken trend stationary process, a unit root...

Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis and psychology, just to mention a few examples. In many cases, the data employed to estimate such specifications are time series that may exhibit stochastic...

Predictive return regressions with persistent regressors are typically plagued by (asymptotically) biased/inconsistent estimates of the slope, non-standard or potentially even spurious statistical inference, and regression unbalancedness. We alleviate the problem of unbalancedness in the...