Two types of Brownian motion functionals, both time-homogeneous and time-inhomogeneous, are expanded in terms of orthonormal bases in respective Hilbert spaces. Meanwhile, different time horizons are treated from the applicability point of view. Moreover, the degrees of approximation of...

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coefficient components. The model accommodates a cointegrating structure and allows for endo-geneity with contemporaneous correlation among...

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

In this paper, we consider a partially linear panel data model with cross-sectional dependence and non-stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then...