Predictive regressions are widely used in empirical economics and finance to investigate the Granger causality test, linear rational expectations hypothesis test, and market efficiency hypothesis. This paper develops a new unified predictability test regardless of the properties of predictors....

Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based...