This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...

Distance-based regression is a prediction method consisting of two steps: from distances between observations we obtain latent variables which, in turn, are the regressors in an ordinary least squares linear model. Distances are computed from actually observed predictors by means of a suitable...

This paper proposes two new unit root tests that are appropriate in the presence of an unknown number of structural breaks. One is based on a single time series and the other is based on a panel of multiple series. For the estimation of the number of breaks and their locations, a simple...

This paper examines power issues for the ADF and four break models (Perron 1989, Zivot and Andrews 1992) when the DGP corresponds to one of the break models. Choosing to test an incorrect break model can but need not greatly reduce the probability of rejecting the null. Break points that are...

If the researcher tests each model in a battery at the a % significance level, the probability that at least one test rejects is generally larger than a %. For five unit-root models, this paper uses Monte Carlo simulation and the inclusion-exclusion principle to show for a %=5% for each test,...

This paper presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries during 1993:01-2003:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes,...

This paper connects three subjects related to international financial markets -- (i) information asymmetry, (ii) market segmentation, and (iii) cross-listings -- and highlights their implication for event study methodology. When firms list equities on more than one exchange, and the exchanges...

The difference between accommodated evidence (i.e. when evidence is known first and a hypothesis is proposed to explain and fit the observations) and predicted evidence (i.e., when evidence verifies the prediction of a hypothesis formulated before observing the evidence) is investigated....

In an event study where at least some of the sample firms have their equity securities listed in more than one market, the question arises as to which is the most appropriate market (or markets) to use for the purpose of estimating mean abnormal returns. When arbitrage activity across these...

Some unit root testing situations are more difficult than others. In the case of quarterly industrial production there is not only the seasonal variation that needs to be considered but also the occasionally breaking linear trend. In the current paper we take this as our starting point to...