Nine leading journals that publish statistical theory are used to provide a data base of institutional and individual research activity in statistics over the period 1980–1986. From this data base, we construct both institutional and individual research rankings according to standardized page...

We develop subsampling-based tests of stock-return predictability and apply them to U.S. data. These tests allow for multiple predictor variables with local-to-unit roots. By contrast, previous methods that model the predictor variables as nearly integrated are only applicable to univariate...

This paper studies the causal relationship between interest rates and exchange rates in Indonesia, Korea, Malaysia and Thailand during the period bordering the 1997 Asian currency crisis to investigate the appropriateness of tight monetary policy in stabilizing exchange rates. We employ VAR...

This paper introduces various consistent tests for the null of cointegration against the alternative of noncointegration that can be applied to a system of equations as well as to a single equation. The tests are analogs of Choi and Ahn's (1993, Testing the Null of Stationarity for Multiple Time...