We examine whether the stock market return is predictable from a range of financial indicators and macroeconomic variables, using monthly U.S. data from 1926 to 2012. We adopt the improved augmented regression method for parameter estimation, statistical inference, and out-of-sample forecasting....

We examine whether the stock market return is predictable from a range of financial indicators and macroeconomic variables, using monthly U.S. data from 1926 to 2012. We adopt the improved augmented regression method for parameter estimation, statistical inference, and out-of-sample forecasting....

The level of significance should be chosen with careful consideration of the key factors such as the sample size, power of the test, and expected losses from Type I and II errors. While the conventional levels may still serve as practical benchmarks, they should not be adopted mindlessly and...

This paper re-evaluates the key past results of unit root test, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The optimal levels for popular unit root tests, chosen using the line of enlightened judgement under a...

This paper re-evaluates the key past results of unit root test, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The optimal levels for popular unit root tests, chosen using the line of enlightened judgement under a...

The level of significance should be chosen with careful consideration of the key factors such as the sample size, power of the test, and expected losses from Type I and II errors. While the conventional levels may still serve as practical benchmarks, they should not be adopted mindlessly and...

The level of significance should be chosen with careful consideration of the key factors such as the sample size, power of the test, and expected losses from Type I and II errors. While the conventional levels may still serve as practical benchmarks, they should not be adopted mindlessly and...

The level of significance should be chosen with careful consideration of the key factors such as the sample size, power of the test, and expected losses from Type I and II errors. While the conventional levels may still serve as practical benchmarks, they should not be adopted mindlessly and...

This paper evaluates the predictability of monthly stock return using out-of-sample (multi-step ahead and dynamic) prediction intervals. Past studies have exclusively used point forecasts, which are of limited value since they carry no information about the intrinsic predictive uncertainty...

This paper examines the validity of statistical significance reported in the seminal studies of the weather effect on stock return. It is found that their research design is statistically flawed and seriously biased against the null hypothesis of no effect. This, coupled with the test statistics...