This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting is semiparametric, so that modelling is effectively confined to a...

Varying-coefficient linear models arise from multivariate nonparametric regression, nonlinear time series modelling and forecasting, functional data analysis, longitudinal data analysis, and others. It has been a common practice to assume that the vary-coefficients are functions of a given...

Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series...

We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial and generalized polynomial trends. In view of the consequent competition between stochastic and deterministic trends, we consider various estimates of the cointegrating vector...

Cointegrated bivariate nonstationary time series are considered in fractional context, without allowance for deterministic trends. Both the observable series and the cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are 1 and 0 is...