We find strong evidence that US common stocks have been a hedge against inflation in the long run, from the early 1950s. Adopting a two-regime threshold vector error-correction model, we find that the stock price and the goods price are co-integrated with unit elasticity, with stock return and...

A Monte Carlo experiment is conducted to compare power properties of alternative tests for the martingale difference hypothesis. Overall, we find that the wild bootstrap automatic variance ratio test shows the highest power against linear dependence; while the generalized spectral test performs...