Publisher Summary This chapter reviews what is known about the time-series evolution of
the risk-return trade-off for stock market investment and presents some new empirical …

This paper is an introduction to unit root econometrics as applied in macroeconomics. The
paper first discusses univariate time series analysis, emphasizing the following topics …

This article derives the large-sample distributions of Lagrange multiplier (LM) tests for
parameter instability against several alternatives of interest in the context of cointegrated …

This article has two aims. First, we provide a synopsis of the literature on co-breaking that
has developed in several, seemingly disconnected, strands. We establish a consistent …

Both textbook economics and common sense teach us that the value of household wealth
should be related to consumer spending. Early academic work by Franco Modigliani (1971) …

We show that aggregate consumption risks embodied in cash flows can account for the
puzzling differences in risk premia across book‐to‐market, momentum, and size‐sorted …

In estimating, the intertemporal elasticity of substitution, Hall finds that, when one takes
account of time aggregation, point estimates are small and not significantly different from …

The empirical implications of the trade-off theory, the market timing theory, and Welch's
theory [Journal of Political Economy (in press)] of capital structure are examined using …

This paper constructs and estimates a model of consumer preferences in which the
intertemporal elasticity of substitution (IES) of consumption expenditure rises with the level of …

This article examines convergence of per capita output for 16 OECD (Organization for
Economic Cooperation and Development) countries. Conventional tests on conditional and …