This paper offers a novel way of testing whether prespecified risk variables command significant risk premia. Specifically, we construct portfolios of securities to mimick the variation in the chosen risk variables, and we estimate the conditional and unconditional expected returns on these...

This paper considers the construction of median unbiased forecasts for near-integrated AR( p ) processes. It is well known that the OLS estimation in AR models produces downward biased parameter estimates. When the largest AR root is near unity, the multi-step forecast iteration leads to severe...