It has been argued that research on market efficiency should be evaluated in terms of whether it improves our ability to predict the time series of security returns. Much recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial...

There as been on-going debate and empirical investigation in the literature as to whether or not the term structure contains information about future inflation. In this paper, the authors present new evidence about the information in the term structure of interest rates about future inflation in...

Recently, it has been shown that seasonal and business cycles are related and a similar economic mechanism is at work in producing both types of cycles. Thus, an analysis of seasonal fluctuations shed light on the nature of the business cycle. This paper uses the LM-type tests proposed by Canova...

This paper investigates whether or not the LM techniques proposed to test the null hypothesis of linearity against GARCH, bilinear (BL) and Joint GARCH-BL alternatives separately, have desirable finite sample properties. The result of a Monte carlo simulation study show that their sizes are...

An issue that arises in applications involving the ARCH-in-Mean (ARCH-M) model is whether or not the error variance is constant over time. A proper statistical formulation of this as a test of hypothesis presents two difficulties. First, the model does not satisfy the standard regularity...

Testing for linearity in time series models has been an active area of research [see Granger and Terasvirta (1993), Tong (1991)]. The authors consider a test for linearity against a particular regime switching model known as the smooth transition autoregressive (STAR) model.

This paper investigates the short- and long-run Indonesian regional labour market integration using Johansen's system approach. The authors have tested for a number of co integrating relationships and common trends among West-Java, East-Java, Central-Java and Jakarta, wage rates, and for the...

Since an analysis of seasonal fluctuation appeared to shed light on the nature of business cycles, testing for seasonal pattern in time series has been given considerable attention in the recent literature. It is also well-known that many economic and financial time series exhibit strong...