In a recent article Gallet and List (2001) examined whether relative market shares in the U.S. cigarette market were mean-reverting using traditional univariate unit root tests and a test that allows for a breaking trend. Their results indicated most of the series were nonstationary, suggesting...

Lobato and Velasco (2007) introduced a test for a unit root against fractional alternatives with good power and performance properties. The purpose of this article is to examine the size of the test in the presence of level and trend breaks under the null hypothesis. The results suggest that...

In this article I examine whether retail and producer prices for American processed cheese follow a long-run linear relationship. The results suggest that wholesale and retail prices are not cointegrated, even when allowance is made for nonlinear and threshold effects, suggesting little evidence...

Goyal and Welch (2003) used recursive residuals and plots of cumulative sum-squared errors to examine the predictive accuracy of dividend ratios in forecasting the equity premium. After a thorough specification search, Goyal and Welch were unable to find evidence in favour of dividend ratios as...

The KPSS stationarity test is oversized when it is applied to a series containing a strong autoregressive process. Hobijn et al. (2004) demonstrated that the test appears to be better-sized when an automatic-data dependent bandwidth selection procedure is used to estimate the long-run variance...

This note provides a descriptive view of prostate cancer mortality in the Canadian province of New Brunswick over a ten year period spanning the 1980s and 1990s.

This study revisits the issue of forecasting changes in inflation using non-linear non-parametric methods. The results indicate the presence of threshold effects in the relationship between the information in the term structure and changes in the rate of inflation.

Leybourne and McCabe have extended the Kwiatkowski et al. stationarity test to examine the null hypothesis of cointegration. The purpose of this note is to provide an extended set of critical values for use in applied research.

In this note I point to a typographical error in a recent paper by Baillie and Bollerslev (1994), and I provide a test - with simulated critical values - for fractional cointegration among seven daily currencies.