The analysis of economic time series assumes specific economic behaviour of a representative agent. The data used in … population have the same data generating process, but what happens if their behaviour is heterogeneous? This paper examines the … properties of test statistics for cointegration when the aggregate data consists of heterogeneous individuals. …

Since conventional cross-validation bandwidth selection methods do not work for the case where the data considered are … using a localized bandwidth in kernel density estimation in the case where the data are serially dependent. Nonetheless, a … method and establish an asymptotic theory for the proposed estimator. A by-product of this bandwidth estimate is a new …

Statistical inferences for sample correlation matrices are important in high dimensional data analysis. Motivated by … independent interest in large dimensional random matrix theory. Meanwhile, we apply the linear spectral statistic to an …

prices data, it significantly outperforms the isotropic spatial lag model. It also provides interesting additional insights …

and the sample size of the data are comparable. We apply this test to examine multiple MA(1) and AR(1) models, panel data …

adopted for the log of output. Bayesian estimation utilizing a Gibbs sampler with data augmentation is applied to a convenient … re-parameterisation of the model. Using panel data from an Australian longitudinal survey, demographic and socioeconomic …

, fertility and net migration. Functional data models with time series coefficients are used to model age-specific mortality and … fertility rates. As detailed migration data are lacking, net migration by age and sex is estimated as the difference between … historic annual population data and successive populations one year ahead derived from a projection using fertility and …