Samples with overlapping observations are used for the study of uncovered interest rate parity, the predictability of long-run stock returns and the credibility of exchange rate target zones. This paper quantifies the biases in parameter estimation and size distortions of hypothesis tests of...

We suggest a convenient version of the omnibus test for normality, using skewness and kurtosis based on Shenton and Bowman ["Journal of the American Statistical Association" (1977) Vol. 72, pp. 206-211], which controls well for size, for samples as low as 10 observations. A multivariate version...

In this paper we use the Kumar and Russell ["American Economic Review" (2002) Vol. 92, pp. 527-548] growth-accounting procedure to examine cross-country growth during the 1990s. Using a data set comprising developed, newly industrialized, developing and transitional economies, we decompose the...

We study the asymptotic behaviour of encompassing statistics in general regression models. The theory for testing one parametric model against another parametric model is now well known, but the comparison of two non-parametric models, or 'crossed' situations where a parametric model is tested...

This paper investigates the use of alternative measures of dividend yields to predict US aggregate stock returns. Following <link rid="b30">Miller and Modigliani</link> ["Journal of Business" (1961), Vol. 34, pp. 411-433] we construct a cashflow yield that includes both dividend and non-dividend cashflows to...

The encompassing principle has been carefully and precisely defined in various contexts, since its first appearance in the 1980s literature in numerous papers by Hendry, Mizon and Richard. Since then, several distinct notions of encompassing have been proposed and still coexist in the...

In this paper, we extend the heterogeneous panel data stationarity test of Hadri ["Econometrics Journal", Vol. 3 (2000) pp. 148-161] to the cases where breaks are taken into account. Four models with different patterns of breaks under the null hypothesis are specified. Two of the models have...