In this paper we propose a revised version of (bagging) <bold>b</bold>ootstrap <bold>aggr</bold>egat<bold>ing</bold> as a forecast combination method for the out-of-sample forecasts in time series models. The revised version explicitly takes into account the dependence in time series data and can be used to justify the validity of...

In this article we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the...

In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either <italic>I</italic>(0) or nearly integrated (<italic>NI</italic>) processes. We show that this kind of...

A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size,...