Recent studies provide strong statistical evidence challenging the existence of out-of-sample return predictability. The economic significance of return predictability is also controversial. In this paper, we find significant economic gains for dynamic trading strategies based on return...

The relative role of economic growth vis-a-vis public action in raising living standards in developing countries has been a point of contention for quite some time now. The arguments on both sides are usually based on some estimated relationship between indicators of living standard and other...

Performance of unit tests depends on several specification decisions prior to their application e.g., whether or not to include a deterministic trend. Since there is no standard procedure for making such decisions, therefore the practitioners routinely make several arbitrary specification...

We propose a simple, flexible approach to nonparametric estimation and specification testing for a two-factor interest rate model. These methods are illustrated with a Monte Carlo experiment and an empirical example.

Exclusion restrictions used to identify demand and supply relationships for market financing among IDA recipients (past and present) show that poor credit ratings and high political instability adversely impact the supply of market finance. While the adverse effects of external debt on market...