Many structural models have attempted to explain the behaviour of exchange rates under the floating rate regime. Meese and Rogoff (1983) found that a random walk model performs at least as well as various structural and time series models for exchange rates in terms of out-of-sample forecast....

Much research has been devoted to assessing the evidence for linear trend in a time series. We discuss the statistical implications of some recent developments, with specific application to 24 time series of relative primary commodities prices

Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large sample properties of five of these modified...

The Hodrick-Prescott filter is often applied to economic series as part of the study of business cycles. Its properties have most frequently been explored through the development of essentially asymptotic results which are practically relevant only some distance from series endpoints. Our...