We employ an unrestricted cointegrating VAR to test the dynamic implications of three competing explanations for the negative stock return-inflation relationship. We also provide test results which make use of recent advances in testing for Granger-causality due to Toda and Phillips (1994). One...

This article proposes a new portmanteau test based on sample partial autocorrelations. The test statistic is asymptotically χ2 under the null hypothesis of randomness. Simulation results indicate that the proposed test, which utilizes Anderson's mean and variance formulae of sample partial...

Tests based on normalized autocorrelation coefficients have been commonly used by applied researchers to examine the randomness of economic and financial time series. This paper investigates via Monte Carlo simulation the finite-sample properties of these tests for randomness, paying special...

Sample partial autocorrelations are one of the main statistical tools of time series analysis. They are especially useful in identifying the order of an AR(p) process. In this note, we show via a simulation experiment that normalizing each sample partial autocorrelation with Anderson's (1993a)...

This paper presents exogeneity tests for the existence (or absence) of a behavioural relationship between financial deepening and economic growth for three high performing economies: Hong Kong, South Korea and Taiwan. The findings suggest that weak, strong and super exogeneity assumptions are...

In this paper we deal with the concept of the learning economy and its suitability to describe the modern globalizing economy. We contend that in contrast to the many fleeting catchwords and phrases found in economics and public policy, the notion of the learning economy represents a superior...