It is well known that the Durbin-Watson and several other tests for first-order autocorrelation have limiting power of either zero or one in a linear regression model without an intercept, and tend to a constant lying strictly between these values when an intercept term is present. This paper...

In this paper we propose a testing procedure for assessing the presence of threshold effects in nonstationary Vector autoregressive models with or without cointegration. Our approach involves first testing whether the long run impact matrix characterising the VECM type representation of the VAR...

We introduce a method for detecting the presence of time variation and instabilities in the parameters of predictive regressions linking noisy variables such as stock returns to highly persistent predictors such as stock market valuation ratios. Our proposed approach relies on the least squares...

We develop tests for detecting possibly episodic predictability induced by a persistent predictor. Our framework is that of a predictive regression model with threshold effects and our goal is to develop operational and easily implementable inferences when one does not wish to impose a priori...

Predictive regressions are linear specications linking a noisy variable such as stock returns to past values of a more persistent regressor such as valuation ratios, interest rates etc with the aim of assessing the presence or absence of predictability. Key complications that arise when...

The popular perception about economic reforms having benefitted only the richer districts of India between 1999/2000 and 2004/2005 is investigated. Using the spatial dynamics of district-level per-capita income it was found that income distribution did not change between the years examined. It...

In an effort to stimulate more attractive football, the international football association FIFA, has recently introduced the "sudden death" or "golden goal" rule for games going into extra time play. This paper analyses under which conditions, if any, the introduction of the sudden death rule...

Recently there have been much discussion of the theory and applications of long memory processes. In this paper we consider the standard linear model y=X*b+u and assume that the variance covariance matrix of the errors being generated from an ARFIMA(0,d,0) model. Following Banerjee and Magnus...