This paper is concerned with the practical problem of conducting inference in a vector time series setting when the data is unbalanced or incomplete. In this case, one can work only with the common sample, to which a standard HAC/Bootstrap theory applies, but at the expense of throwing away data...

This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the existence of a premium is due to an...

This paper is concerned with the practical problem of conducting inference in a vector time series setting when the data is unbalanced or incomplete. In this case, one can work only with the common sample, to which a standard HAC/Bootstrap theory applies, but at the expense of throwing away data...

Consider the problem of testing k hypotheses simultaneously. In this paper, we discuss finite and large sample theory of stepdown methods that provide control of the familywise error rate (FWE). In order to improve upon the Bonferroni method or Holm's (1979) stepdown method, Westfall and Young...