In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several expansions and rates of convergence are...

In this paper, we consider some identification, estimation and specification problems in a class of semi-linear time series models. Existing studies for the stationary time series case have been reviewed and discussed. We also establish some new studies for the integrated nonstationary time...

In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The modelling framework under investigation can accommodate both nonlinear deterministic trends and cross-sectional dependence. And we consider the so-called "large panels" where both the...