Recently there have been much discussion of the theory and applications of long memory processes. In this paper we consider the standard linear model y=X*b+u and assume that the variance covariance matrix of the errors being generated from an ARFIMA(0,d,0) model. Following Banerjee and Magnus...

We construct a zero net-worth uninformed "naive investor" who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profits relative to the return percentiles of the...

In India, the popular perception is economic reforms have benefited the rich more than the poor leading to an unequal income distribution, as in Quah's twin peaks hypothesis. In this article we test this hypothesis by studying the spatial dynamics of income distribution. Using district-level...

This paper considers the dynamics of income distributional pattern in India. If reforms are pro-rich then would see emergence of twin peaks in the underlying income distribution function in India (i.e.clustering of the rich people, and clustering of the poor people). On the other hand, a uniform...

We introduce a new nonparametric approach for estimating a simple varying coeffcient model with a unit root nonstationarity. Our method is based on a piecewise local least squares principle and is computationally simple to implement. We establish its asymptotic properties and evaluate its...