Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments. However, several major difficulties, which are generally overlooked, must be confronted when transferring the HC technology to time series...

A number of recent papers have developed multifactor extensions of the classic consumption capital asset pricing model (CCAPM) and generally concluded that conditioning information improves the empirical performance. However, the empirical work to date has primarily employed cross-sectional...