This paper proposes a new stationarity test based on the KPSS test with less size distortion. We extend the boundary rule proposed by Sul, Phillips and Choi (2005) to the autoregressive spectral density estimator and parametrically estimate the long-run variance. We also derive the finite sample bias of the numerator of the test statistic up to the 1/T order and propose a correction to the bias...

In this paper we introduce a new methodology to test market efficiency and to assess the performance of the most widely accepted asset pricing models. We use this methodology to test the semi-strong form of market efficiency in the context of publicly available accounting information. Instead of testing for a single accounting-based firm characteristic that can generate abnormal excess returns ...

Selective Schools and Academic Achievement In this paper I consider the impact of attending a selective high school in the UK. Students are assigned to these schools on the basis of a test taken in primary school and, using data on these assignment test scores for a particular district, I exploit this rule to estimate the causal effects of selective schools on test scores, high school course ta...

German Works Councils and Productivity: First Evidence from a Nonparametric Test This paper presents the first nonparametric test whether German works councils go hand in hand with higher labor productivity or not. It distinguishes between establishments that are covered by collective bargaining or not. Results from a Kolmogorov-Smirnov test for first order stochastic dominance tend to indicate...

Existing studies find that size, book-to-market, momentum and liquidity explain the crosssection of average returns, but debate continues over whether these variables are risk factors. We propose a new test of whether a candidate variable is a priced risk factor. Specifically, we test whether there is a relationship between the conditional mean and conditional variance of the return on the cand...

We construct a Kolmogorov-Smirnov test for the null hypothesis that the average treatment effect is non-negative conditional on all possible values of the covariates. The null hypothesis of our interest can be characterized as a conditional moment inequality under the unconfoundedness assumption, and we employ the instrumental variable method to convert the conditional moment inequality into un...

Following in Your Parents’ Footsteps? Empirical Analysis of Matched Parent-Offspring Test Scores In this paper, we explore whether an intergenerational relationship exists between the reading and mathematics test scores, taken at age 7, of a cohort of individuals born in 1958 and the equivalent test scores of their offspring measured in 1991. Our results suggest that how the parent performs in ...

We propose a new test for superior predictive ability. The new test compares favorable to the reality check for data snooping (RC), because the former is more powerful and less sensitive to poor and irrelevant alternatives. The improvements are achieved by two modifications of the RC. We employ a studentized test statistic that reduces the influence of erratic forecasts and we invoke a sample d...

In this paper, we propose a minimum LM unit root test that endogenously determines a structural break in intercept and trend. Critical values are provided, and size and power properties are compared to the endogenous one-break unit root test of Zivot and Andrews (1992). Nunes, Newbold, and Kuan (1997) and Lee and Strazicich (2001) previously demonstrated that the Zivot and Andrews test exhibits...

Article history: Received 7 March 2006 Available online 19 March 2009 JEL classification: D82 J33 M50