This paper proposes three modifications to the augmented regression method (ARM) for bias-reduced estimation and statistical inference in the predictive regression. They are related to improved bias-correction, stationarity-correction, and matrix formulae for bias-correction and covariance...

This paper proposes a test for the signal-to-noise ratio applicable to a range of significance tests and model diagnostics in a linear regression. It is particularly useful under a large or massive sample size, where a conventional test frequently rejects an economically negligible deviation...