We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual global trend that reflects the unobserved external...

By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...