Previous literature indicates that stock returns are predictable by several strongly autocorrelated forecasting variables, especially at longer horizons. It is suggested that this finding is spurious and follows from a neglected near unit root problem. Instead of the commonly used t test we...

The Laplace mixture distribution for stock share returns is derived from conditional N(0,x2) distribution. The conditioning variable, x2, is assumed to be an exponentially distributed random variable. This offers a natural stochastic interpretation of the risk involved with the stock share....

In some cases the unit root or near unit root behavior of linear autoregressive models fitted to economic time series is not in accordance with the underlying economic theory. To accommodate this feature we consider a threshold autoregressive process with the threshold effect only in the...

Recent models of monetary policy and monetary rules can have indeterminacy of equilibria. The indeterminacy property is often viewed as a difficulty of these models. We consider its significance using the learning approach to expectations formation by employing expectational stability as a...