In statistical practice multicollinearity of predictor variables is rather the rule than the exception and appropriate models are needed to avoid instability of predictions. Feature extraction methods reflect the idea that latent variables not measurable directly are underlying the original...

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...