Methods of inference based on a unit root assumption in the data are typically not robust to even small deviations from this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are generated by a near unit root process. A Bonferroni...

The dividend-growth based test of return predictability, proposed by Cochrane [2008, Review of Financial Studies 21, 1533-1575], is similar to a likelihood-based test of the standard return-predictability model, treating the autoregressive parameter of the dividend-price ratio as known. In...

Expectations about future housing prices are arguably an important determinant of actual housing prices, and an important input in decisions on whether and how to transact in the housing market. Using novel micro-level survey data on Swedish households, we analyse households' expectations of...