It is shown that the limiting distribution of the augmented Dickey-Fuller (ADF) test under the null hypothesis of a unit root is valid under a very general set of assumptions that goes far beyond the linear AR (∞) process assumption typically imposed. In essence, all that is required is...

We consider writing a derivative contract on some underlying asset in such a way that the derivative contract and underlying asset yield the same payo� distribution after one time period. Using the Hardy-Littlewood rearrangement inequality, we obtain an explicit solution for the cheapest...

We address the problem of estimating the autocovariance matrix of a stationary process. Under short range dependence assumptions, convergence rates are established for a gradually tapered version of the sample autocovariance matrix and for its inverse. The proposed estimator is formed by leaving...

This paper considers the problem of distribution estimation for the studentized sample mean in the context of Long Memory and Negative Memory time series dynamics, adopting the fixed-bandwidth approach now popular in the econometrics literature. The distribution theory complements the Short...

Economic and financial time series frequently exhibit time irreversible dynamics. For instance, there is considerable evidence of asymmetric fluctuations in many macroeconomic and financial variables, and certain game theoretic models of price determination predict asymmetric cycles in price...

The National Bank of Poland does not publish the Monetary Policy Council's voting records before the subsequent policy meeting. Using real-time data, this paper shows that a prompter release of the voting records could improve the predictability of policy decisions. The voting patterns reveal...

The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the...

Housing prices have plummeted across the United States. This paper examines differences in the magnitude of housing price decreases across metropolitan areas. A relatively small number of housing market variables observable before the fall are capable of explaining over 70% of the considerable...

We model exogenous technology shocks in common-pool industries using a compound Poisson process for total factor productivity. Rapid di�usion of exogenous innovations is typical in the commons, but technology is rarely modeled this way. Technology shocks lower the equilibrium resource stock...

The Hope Tax Credit, the Lifetime Learning Tax Credit and the Tuition and Fees Deduction are the first forms of federal student aid administered through the tax code. In this paper, which is the first to explore the effects of the three programs, I use policy-induced variation in the value of...