An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014-2020 by applying a fractional integration framework; this is more general than the standard approach based on...

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

"This paper applies fractional integration methods to investigate the behaviour of various pollutants (PM10, PM25, SO2 and NO2) in seven Chinese cities (Shanghai, Beijing, Chongqing, Tianjin, Shenzhen, Nanjing and Xian) using daily data over the period January 1, 2014 - November 18, 2022. The...