The behavior of Swedish stock returns over short and long run horizons is analyzed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s we hardly found any evidence of long run dependence. Using three different tests that are robust to short...

In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...

We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the...