C12 - Hypothesis Testing: General
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Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasticity. -
Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry
Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports. -
Unit-Root Tests and Excess Returns
Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zero I(0), and even more sharply with the view that past returns have no ability to predict future returns (weak market efficiency).
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