Papers and Publications

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@Copyright, Alex Maynard 2006-2016, All Rights Reserved.



Refereed Publications


"The Finite Sample Power of Long-Horizon Predictive Tests in Models with Financial Bubbles" (with Dongmeng Ren) International Review of Financial Analysis (forthcoming)


"The Impact of Local Ethanol Production on Grain Basis in Ontario," (with Wu, Z., Weersink, A., Hailu, G., & Vyn, R.) Canadian Journal of Agricultural Economics (forthcoming).


"Empirical Analysis of Corn and Soybean Basis in Canada" (with Getu Hailu and Alfons Weersink) Applied Economics incorporating Applied Financial Economics , 2015, Vol. 51 Issue 47, pp. 5491-5509.


"Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets" (with Dongmeng Ren) in Yoosoon Chang , Thomas B. Fomby , Joon Y. Park (ed.) Essays in Honor of Peter C. B. Phillips (Advances in Econometrics, Volume 33), 2014, Emerald Group Publishing Limited, pp.673 - 711   ( pre-publication version )


"Long Memory Regressors and Predictive Regressions: A two-stage rebalancing approach" (with Aaron Smallwood and Mark E. Wohar), Econometric Reviews 2013, Vol 32, Issue 3 pp. 318-360     Abstract     On-line appendix


"Persistence-robust Granger causality testing" (with Dietmar Bauer), Journal of Econometrics, 2012, Vol 169, Issue 2, pg. 293-300.     Abstract     Extended version


"Level crossing random walk test robust to the presence of structural breaks" (with Vitali Alexeev), Computational Statistics and Data Analysis 2012, Vol. 56, Isuue 11, pg. 3322-3344.     Abstract     working paper version   link to publication


"Sensitivity of Impulse Responses to Small Low Frequency Co-movements: Reconciling the Evidence on the Effects of Technology Shocks" (with Nikolay Gospodinov and Elena Pesavento), Journal of Business and Economic Statistics, Vol. 29, Issue 4, 2011, pg 455-467.     Abstract     Paper     Online Appendix


"Public insurance and private savings: who is affected and by how much?" (with Jiaping Qiu), Journal of Applied Econometrics Vol. 24, Issue 2, March 2009, pg 282-308   Abstract   preprint   replication files


"Covariance-based orthogonality tests for regressors with unknown persistence" (with Katsumi Shimotsu), Econometric Theory, Vol. 25, Issue 01, February 2009, pg 63-116.     Abstract     working paper version     (Supplement: kernel comparison)


"A new application of exact non-parametric methods to long-horizon predictability tests" (with Wei Liu ), Studies in Nonlinear Dynamics & Econometrics: Vol. 11 No. 1, Article 7. (2007) http://www.bepress.com/snde/vol11/iss1/art7 (39 pages.)     Abstract   replication files


"The forward premium anomaly: statistical artifact or economic puzzle? New evidence from robust tests", Canadian Journal of Economics 39 (4) (November, 2006), 1244-1281.   Abstract


"Testing forward rate unbiasedness allowing for persistent regressors" (with
Wei Liu ), Journal of Empirical Finance 12 (2005), 613-628.   Abstract


"Testing for forward rate unbiasedness: on regression in levels and in returns," The Review of Economics and Statistics 85(2) (2003), 313-327.  
Abstract


"Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly" (with Peter C.B. Phillips), Journal of Applied Econometrics 16(6) (2001), 671-708.   Abstract     Preprint (Cowles Foundation Paper 1035)     Data submission


Book Reviews

"Review of Econometric Theory by James Davidson (Blackwell Publishers)", Econometric Theory 19 (2003), 665-674.


Working Papers

"Improving Forecasts of Inflation using the Term Structure of Interest Rates," (with Alonso Gomez and John Maheu), University of Toronto, Department of Economics, Working Paper 319.     Abstract     Paper


"Inference in Predictive Quantile Regressions" (with Katsumi Shimotsu, and Yini Wang), Preliminary draft; available upon request.