This paper provides a method for testing for regime differences when regimes are long-lasting. Standard testing procedures are generally inappropriate because regime persistence causes a spurious regression problem - a problem that has led to incorrect inference in a broad range of studies...

Whether Republican or Democratic presidents are better for the the stock market has been closely scrutinized for years. Although much of it is discussed only in casual terms, a recent academic study by Santa Clara and Valkanov (2003) documenting that the market does significantly better under...