A Bayesian typically uses data and a prior to produce a posterior. We shall follow the opposite route, using data and the posterior information to reveal the prior. We apply the theory by inferring the Bank of England’s priors when forecasting UK inflation

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...