In this paper, we analyze feasible bias-reduced versions of point estimates for predictive regressions: The plug-in estimates, which are based on the augmented regressions proposed by Amihud and Hurvich (2004) and Amihud, Hurvich and Wang (2010), and the grouped jackknife estimate by Quenouille...

In this paper, we test the Prebish–Singer (PS) hypothesis, which states that real commodity prices decline in the long run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural break. We find that the hypothesis cannot be rejected...

In this paper, Mallows’ (1973)Cp criterion, Akaike’s (1973) AIC, Hurvich and Tsai’s (1989) corrected AIC and the BIC of Akaike (1978) and Schwarz (1978) are derived for the leads-and-lags cointegrating regression. Deriving model selection criteria for the leads-and-lags regression is a...

This paper proposes a new stationarity test based on the KPSS test with less size distortion. We extend the boundary rule proposed by Sul, Phillips and Choi (2005) to the autoregressive spectral density estimator and parametrically estimate the long-run variance. We also derive the finite sample...

This article proposes a new stationarity test based on the KPSS test with less size distortion. We extend the boundary rule proposed by Sul et al. (2005) to the autoregressive spectral density estimator and parametrically estimate the long-run variance. We also derive the finite sample bias of...

We develop a new approach of statistical inference in possibly integrated/cointegrated vector autoregressions. Our method is built on the two previous approaches: the lag augmented approach by Toda and Yamamoto (1995) and the artificial autoregressions by Yamamoto (1996). We show that our...

This paper examines the finite sample properties of estimators for approximate factor models when N is small via simulation study. Although the "rule-of-thumb" for factor models does not support using approximate factor models when N is small, we find that the principal component analysis...

In this paper, we consider the role of “leads” of the first difference of integrated variables in the dynamic OLS estimation of cointegrating regression models. Specifically, we investigate Stock and Watson’s [J.H. Stock, M.W. Watson’s, A simple estimator of cointegrating vectors in...

It is widely known that structural break tests based on the long-run variance estimator, which is estimated under the alternative, suffer from serious size distortion when the errors are serially correlated. In this paper, we propose bias-corrected tests for a shift in mean by correcting the...

We examine finite sample properties of estimators for approximate factor models when N is small. Contrary to the “rule-of-thumb”, we find that the principal component analysis estimator and the quasi-maximum likelihood estimator perform well even when N is small.