The paper generalises recent unit root tests for nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix lead to size distortions in conventional cointegration tests, and possibilities of increased power by taking the time-varying volatilities and...

A large set of 5350 trend following technical trading rules is applied to LIFFE and CSCE cocoa futures prices, and to the Pound-Dollar exchange rate, in the period 1983:1 - 1997:6. We find that 72% of the trading rules generate positive profits, even when correcting for transaction and borrowing...

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

Augmenting a first-order dynamic regression model by adding particular redundant regressors gives a least-squares estimator of the lagged-dependent variable coefficient that is independent of nuisance parameters under a null hypothesis. This estimator and its t ratio have finite sample null...

In a single-equation error correction model, two alternative formulations of a linear hypothesis on the long-run parameters and associated Wald test statistics are shown to arise from the covariance matrix estimator. A choice between the statistics is based on invariance properties and on lack...

A large set of 5350 trend following technica! trading rules is applied to LIFFE and CSCE cocoa futures prices, and to the Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% of the trading rules generates positive profits, even when correcting for transaction and borrowing...

This discussion paper led to a publication in the <I>Journal of Economic Dynamics and Control</I>. Volume 31(6), pp. 1938-1970.<P> We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all...</p></i>

A large set of 5350 trend following technica! trading rules is applied to LIFFEand CSCE cocoa futures prices, and tothe Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% ofthe trading rules generatespositive profits, even when correcting for transaction and borrowing...

This paper unifies two seemingly separate approaches to test weak exogeneity in dynamic regression models with Lagrange-mulptiplier statistics. The first class of tests focuses on the orthogonality between innovations and conditioning variables, and thus is related to the Durbin-Wu-Hausman...