Escanciano, J.C., 2006. Goodness-of-fit statistics for linear and nonlinear time series
models. Journal of the American Statistical Association 101, 531-541.
Goyal, A, and Welch, I., 2003. A note on predicting returns with financial ratios.
mimeo.
Halmos P. R., 1950. Measure Theory, Springer-Verlag.
Hong, S. H. and P.C.B. Phillips, 2005. Testing linearity in cointegrating relations
with an application to PPP. Cowles Foundation Discussion Paper 1541.
Kasparis I., 2004. Testing for functional form under non-stationarity. ESEM.
Kasparis I., 2005. Detection of functional form misspecification in cointegrating re-
lations. Econometric Theory, forthcoming.
Marmer V., 2005. Nonlinearity, nonstationarity and spurious forecasts. Journal of
Econometrics, forthcoming.
Newey, W.K., 1985. Maximum likelihood specification testing and conditional mo-
ment tests. Econometrica 53, 1047-1070.
Park, J.Y. and P.C.B. Phillips, 1998. Unit roots in nonlinear transformations of
integrated time series. Mimeo.
Park, J.Y. and P.C.B. Phillips, 1999. Asymptotics for nonlinear transformations of
integrated time series. Econometric Theory 15, 269-298.
Park, J.Y. and P.C.B. Phillips, 2000. Nonstationary binary choice, Econometrica.
68, 1249-1280.
Park, J.Y. and P.C.B. Phillips, 2001. Nonlinear regressions with integrated time
series, Econometrica, 69, 117-161.
Pbtscher B. M., 2004. Nonlinear Functions and Convergence to Brownian Motion:
Beyond the Continuous Mapping Theorem, Econometric Theory, 20, 1-22.
Jeganathan, P., 2003. Second order limits of functionals of sums of linear processes
that converge to fractional stable motions, Working Paper, Indian Statistical In-
situte.
Lewellen J., 2004. Predicting returns with financial ratios. Journal of Financial
Economics, 74, 209-235.
Stambaugh, R., 1999. Predicting regressions. Journal of Financial Economics, 54,
375-421.
Stinchcombe, M.B., H., White H., 1998. Consistent specification testing with nui-
sance parameters present only under the alternative. Econometric Theory 14,
295-325.
22
More intriguing information
1. Une nouvelle vision de l'économie (The knowledge society: a new approach of the economy)2. The name is absent
3. Language discrimination by human newborns and by cotton-top tamarin monkeys
4. Macro-regional evaluation of the Structural Funds using the HERMIN modelling framework
5. The name is absent
6. Prizes and Patents: Using Market Signals to Provide Incentives for Innovations
7. Mergers and the changing landscape of commercial banking (Part II)
8. On the Relation between Robust and Bayesian Decision Making
9. Wage mobility, Job mobility and Spatial mobility in the Portuguese economy
10. Empirical Calibration of a Least-Cost Conservation Reserve Program