In this paper, a semiparametric single-index model is investigated. The link function is allowed to be unbounded and has unbounded support that answers a pending issue in the literature. Meanwhile, the link function is treated as a point in an infinitely many dimensional function space which...

This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact with each other to co-exist. From practical perspectives, this framework can be used to estimate shifts in the...

In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross sectional dimension and the temporal dimension to diverge. From a practical point of view, the proposed framework can be applied to predict the probability...

This study decomposes the bilateral trade flows using a three-dimensional panel data model. Under the scenario that all three dimensions diverge to infinity, we pro- pose an estimation approach to identify the number of global shocks and country- specific shocks sequentially, and establish the...

This paper studies a model with both a parametric global trend and a nonparametric local trend. This model may be of interest in a number of applications in economics, finance, ecology, and geology. The model nests the parametric global trend model considered in Phillips (2007) and Robinson...