Now showing items 1-3 of 3

    • The Good News and the Bad News about Long-run Stock Market Returns 

      Robertson, Donald; Wright, Stephen M. (Faculty of Economics, 2004-06-16)
      If stock prices followed a random walk, uncertainty about future stock prices would be so great that the observed bias towards equities in long-term investment portfolios would be surprising. The good news is that if, ...
    • IV Estimation of Panels with Factor Residuals 

      Robertson, Donald; Sara dis, Vasilis (Faculty of Economics, 2013-06-04)
      This paper proposes a new instrumental variables approach for consistent and asymptotically effi cient estimation of panel data models with weakly exogenous or endogenous regressors and residuals generated by a multifactor ...
    • Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels 

      Robertson, Donald; Sarafidis, Vasilis; Westerlund, Joakim (Taylor & Francis, 2016-05-21)
      This paper proposes a new panel unit root test based on the generalized method of moments approach for panels with a possibly small number of time periods, T, and a large number of cross-sectional units, N. In the model ...