Nonstationarity of the volatility process reflects low-frequency volatility changes of an economic time series, and its theoretical and empirical relevance has been widely recognized. We investigate how it affects CUSUM-related tests for structural change in regression coefficients....

Research in finance and macroeconomics has routinely used multiple horizons to test asset return predictability. In a simple predictive regression model, we find the popular scaled test can have zero power when the predictor is not sufficiently persistent. A new test based on implication of the...

We consider inference of predictive regression with multiple predictors. Extant tests for predictability, including those constructed with robustness to unknown persistence and endogeneity of predictors, may perform unsatisfactorily and tend to discover spurious predictability as the number of...

Trend models are important in describing nonstationary behavior of a time series. In this paper we propose valid tests for the trend coefficients in a multivariate system with mixed stationary, integrated or nearly integrated errors. Cross-sectional and serial dependence in innovations are left...