1 citations · 2 across the 4 of their papers we have counts for
Showing econ.EMShow all
2 papers · 1 filter
econ.EM2022★ 1 cited
A New Test for Market Efficiency and Uncovered Interest Parity
Richard T. Baillie, Francis X. Diebold, George Kapetanios +1
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parame…
econ.EM2022★ 1 cited
On Robust Inference in Time Series Regression
Richard T. Baillie, Francis X. Diebold, George Kapetanios +2
Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments. However, several major diffi…