This dissertation collects two papers regarding the econometric and economic theoryand testing of the predictability of asset returns. It is widely accepted that stockreturns are not only predictable but highly so. This belief is due to an abundanceof existing empirical literature fi nding often...

The paper introduces a novel approach to testing for unit roots in panels, which takes a new contour that is drawn along the line given by the equi-squared-sum instead of the traditional one given by the equi-sample-size. We show in the paper that the distributions of the unit root tests are...

The paper introduces a novel approach to testing for unit roots in panels. Following Chang and Park (2004), the approach takes a new contour that is drawn along the line given by the equi-squared-sum instead of the traditional one given by the equi-sample-size. As we show in the paper, the...