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...

The validity of stationary bootstrapping is investigated for cointegrating regressions in large samples as well as in finite samples. The bootstrap ordinary least squares estimator (OLSE) is shown to be valid in large samples having the same limiting distribution as the OLSE under a similar...

This paper estimates the import demand elasticity for China using three fully efficient cointegrating regressions and the autoregressive distributed lag (ARDL) method. This paper is the first to accommodate the perception of global risk in an investigation of the information transmission...

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...

We estimate the impact of exchange rate fluctuations and other external factors on hours worked and employment in Canada's manufacturing industries. The analysis is based on a dynamic model of labour demand and the econometric strategy employs a dynamic OLS approach for cointegrating...