We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.

The paper utilizes modern econometric techniques organized around I(1) and cointegration analysis to examine the number of common, stochastic long-run trends in regional incomes and assess the hypothesis of regional convergence for the US over the period 1929-1997. Time series evidence is...

This article focuses on the relevance of long-term equilibrium relations for financial decision making. Special attention is devoted to optimal asset allocation in the presence of possibly cointegrated time-series, e.g., asset prices. Using a stylized asset allocation problem, the link is...

This article focuses on the relevance of long-term equilibrium relations for financial decision making. Special attention is devoted to optimal asset allocation in the presence of possibly cointegrated time-series, e.g., asset prices. Using a stylized asset allocation problem, the link is...

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of...

We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...

We examine the effect of population size on government size for a panel of 130 countries for the period between 1970 and 2014. We show that previous analyses of the nexus between population size and government size were incorrectly specified, not accounting for cross-sectional dependence,...

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.