Revisions to GDP announcements are known to be quite large in all G-7 countries; quarterly growth rate revisions are regularly more than a full percentage point at an annualized rate. We examine the predictability of these revisions using standard statistical tests of whether the preliminary...

This article proposes using variance-ratio tests based on the ranks and signs of a time series to test the null that the series is a martingale difference sequence. Unlike conventional variance-ratio tests, these tests can be exact. In Monte Carlo simulations, I find that they can also be more...

Standard methods for inference in cointegrating systems require all the variables to have exact unit roots and are not at all robust even to slight violations of this condition. In this article, I consider an alternative approach to inference in a cointegrating system. This involves testing the...

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for...

This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the...

Recent papers have proposed a split-sample prediction method to test for structural stability in GMM estimation when the potential break date is treated as known. In this note, the author derives the limiting distribution of the supremum of this test over all possible break dates, thus allowing...

An experiment is performed to assess the prevalence of instability in univariate and bivariate macroeconomic time series relations and to ascertain whether various adaptive forecasting techniques successfully handle any such instability. Formal tests for instability and out-of-sample forecasts...

This paper investigates the possibility, raised by P. Perron (1989, 1990) and P. Rappoport and L. Reichlin (1989), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, the authors treat the break date as unknown a priori....