Spectral analysis at frequencies other than zero plays an increasingly important role in econometrics. A number of alternative automated data-driven procedures for nonparametric spectral density estimation have been suggested in the literature, but little is known about their finite-sample...

Tests of the null hypothesis of stationarity against the unit root alternative play an increasingly important role in empirical work in macroeconomics and in international finance. We show that the use of conventional asymptotic critical values for stationarity tests may cause extreme size...

This study analyzes the size and power of tests of the null of stationarity against the unit root alternative. Existing evidence is limited to processes with roots between 0 and 0.7. In sharp contrast, virtually all applications of economic interest involve null hypotheses much closer to 1. We...

- It is well known that the asymptotic distribution of residual-based test statistics for normality may provide a poor approximation in finite samples. We propose the use of bootstrap critical values to improve small-sample performance and compare the accuracy of the asymptotic and bootstrap...

The conventional Edgeworth expansion view of bootstrap confidence intervals suggests that for the bootstrap to exceed the accuracy of the normal approximation one must bootstrap asymptotically pivotal statistics. This paper questions the basic premise of the asymptotic theory used to rationalize...

Long-horizon regression tests are widely used in empirical finance, despite evidence of severe size distortions. I propose a new bootstrap method for small-sample inference in long-horizon regressions. A Monte Carlo study shows that this bootstrap test greatly reduces the size distortions of...

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behavior of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

The origins of stagflation and the possibility of its recurrence continue to be an important concern among policymakers and in the popular press. It is common to associate the origins of the Great Stagflation of the 1970s with the two major oil price increases of 1973/74 and 1979/80. This paper...

We provide a concise overview of time series analysis in the time and frequency domains, with lots of references for further reading.