Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?
用新自助法检验四种主要汇率的长期可预测性，发现与早期研究不同，长期预测能力并未更强，且线性VEC模型可能设定有误，自助法p值构建方法存在根本缺陷。
The use of a new bootstrap method for small-sample inference in long-horizon regressions is illustrated by analysing the long-horizon predictability of four major exchange rates, and the findings are reconciled with those of an earlier study by Mark (1995). While there is some evidence of exchange rate predictability, contrary to earlier studies, no evidence is found of higher predictability at longer horizons. Additional evidence is presented that the linear VEC model framework underlying the empirical study is likely to be misspecified, and that the methodology for constructing bootstrap p-values for long-horizon regression tests may be fundamentally flawed. Copyright © 1999 John Wiley & Sons, Ltd.