Chong and Ng (2008) find that the Moving Average Convergence–Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London Stock Exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is...

Using the recently developed linearity test and non-linear unit root test, this study shows that the income gaps of Finland, Norway and Sweden with respect to Denmark are non-linear but stationary with no significant trend effect, implying the Nordic countries have already attained steady state...

Estimating the lag length of autoregressive process for a time series is a crucial econometric exercise in most economic studies. This study attempts to provide helpfully guidelines regarding the use of lag length selection criteria in determining the autoregressive lag length. The most...