We introduce a panel model with a nonparametric functional coefficient of multiple arguments. The coefficient is a function both of time, allowing temporal changes in an otherwise linear model, and of the regressor itself, allowing nonlinearity. In contrast to a time series model, the effects of...

In this paper, we derive the asymptotic distributions of Augmented-Dickey-Fuller (ADF) tests under very mild conditions. The tests were originally proposed and investigated by Said and Dickey (1984) for testing unit roots in finite-order ARMA models with i.i.d. innovations, and are based on a...

This study suggests a basis for the division of spatial housing submarkets in enhancing the understanding of housing markets. The theoretical background of the division is based upon the relationship between commuting patterns and the structure of house prices. An examination of the process of...

This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against certain non-martingale alternatives. The class of alternative processes against which our test has power is very general and it encompasses many...

This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against certain non-martingale alternatives. The class of alternative processes against which our test has power is very general and it encompasses many...

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...