Working Papers

"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)     Abstract     Paper

"Long Memory Regressors and Predictive Regressions: A two-stage rebalancing approach" (with Aaron Smallwood and Mark E. Wohar),     Abstract     Paper

"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

Refereed Publications

"Persistence-robust Granger causality testing" (with Dietmar Bauer), Journal of Econometrics, Special Issues on Honor of P.C.B Phillips (forthcoming)     Abstract     Paper     Extended version

"Level crossing random walk test robust to the presence of structural breaks" (with Vitali Alexeev), Computational Statistics and Data Analysis (forthcoming)     Abstract     working paper version   link to publication

"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, pp 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, pp 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.