In this document, we investigate the evolution of the income elasticity and the price elasticity of the demand for gasoline over the period 1975-2006. By using the Probabilistic Reduction Approach, we were able to model changes in mean heterogeneity and variance heterogeneity directly into the...

This article considers the cointegrating regression with errors whose variances change smoothly over time. The model can be used to describe a long-run cointegrating relationship, the tightness of which varies along with time. Heteroskedasticity in the errors is modeled nonparametrically and is...

This paper considers the cointegrating regression with errors whose variances change smoothly over time. The model can be used to describe a longrun cointegrating relationship, the tightness of which varies along with time. Heteroskedasticity in the errors is modelled nonparametrically and is...