Phillips (1986) provides asymptotic theory for regressions that relate nonstationary time series including those integrated of order 1, I(1). A practical implication of related literature on spurious regression is that one cannot trust the usual confidence intervals. Therefore it is recommended...

A new two-way map between time domain and numerical magnitudes or values domain (v-dom) provides a new solution to heteroscedasticity. Since sorted logs of squared fitted residuals are monotonic in the v-dom, we obtain a parsimonious fit there. Two theorems prove consistency, asymptotic...

Heterogeneous global trends in asset prices and savings affect the macro economy. Our challenge is to use limited data to make inference regarding underlying causes. In general, government and business decision makers, FDIC type regulators and risk professionals need quantitative tools to help...