A new asymptotic framework is used to provide finite sample approximations for various statistics in the spurious return predictive regression analyzed by Ferson, Sarkissian and Simin (2003a). Our theory explains all the findings of Ferson et al (2003a) and confirms the theoretical possibility...

We consider the power properties of the CUSUM and CUSUM of squares (CUSQ) tests in the presence of a one-time change in the parameters of a linear regression model. A result due to Ploberger and Krämer [1990. The local power of the cusum and cusum of squares tests. Econometric Theory 6,...

For a broad class of linear biased estimators, we establish conditions under which the F statistic based on biased estimators is identical to the F statistic based on least-squares estimator. Several biased estimators in the literature are shown to satisfy these conditions