We use a comprehensive new dataset of asset-class returns in 38 developed countries to examine a popular class of retirement spending rules that prescribe annual withdrawals as a constant percentage of the retirement account balance. A 65-year-old couple willing to bear a 5% chance of financial...

We use the pattern recognition algorithm of Lo et al. (2000) with some modifications to determine whether quot;head-and-shouldersquot; price patterns have predictive power for future stock returns. The modifications include the use of filters based on typical price patterns identified by a...

This paper examines statistical problems which arise in empirical applications of the partial adjustment model with autoregressive errors when the model is nearly nonidentified. The results of Monte Carlo experiments show that the NLS estimation criterion function is multipeaked with high...

We use the pattern recognition algorithm of Lo, Mamaysky, and Wang () with some modifications to determine whether head-and-shoulders (HS) price patterns have predictive power for future stock returns. The modifications include the use of filters based on typical price patterns identified by a...

In econometrics, most null hypotheses are composite, dividing the parame ters into parameters of interest and nuisance parameters. Typically, a composite hypothesis can be tested using two or more testing procedures. Competing testing procedures are commonly compared using size-corrected powers....

Most hypotheses in binary response models are composite. The null hypothesis is usually that one or more slope coefficients are zero. Typically, the sequence of alternatives of interest is one in which the slope coefficients are increasing in absolute value. In this paper, we prove that the...

This paper considers tests of the transformation parameter of the Box-Cox model when the distribution of the error is unknown. Monte Carlo experiments are carried out to investigate the rejection probabilities of the GMM-based Wald and Lagrange Multiplier (LM) tests when the null hypothesis is...