Berben, R-P.

horizon regression distribution t-statistic exchange cointegration horizon regressions horizon regression tests increase 1=2 value result table exchange rates horizon k exchange rate predictability hypothesis power modi ed t-statistics alternative regression r 2 hansen section economic sample newey-west journal k increases estimator change horizon predictability parameter horizon k increases phillips-perron type correction tls ^ k model evidence variance estimate statistic stock theorem signi least-square horizon regression phillip regression parameter stock returns dickey-fuller distribution newey-west type estimators signi cance monte carlo study observation correction process covariance assumption corollary return paper swiss franc table 1 0.0 proof signi cant theory nding distribution theory square mark 1995 dickey-fuller erent interest hypothesis h 0 ta ^ k testing t ^ k regression coe cient dollar