For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval...

I compare the performance of the index-based time series approach and the cross-sectional approach in estimating factor loadings of non-traded assets, and show that the latter likely provides less biased and more efficient estimates. I then use the cross-sectional approach to estimate the...