Behavior at the individual level in panels or at the station level in spatial models is often influenced by aspects of the system in aggregate. In particular, the nature of the interaction between individual-specific explanatory variables and an individual dependent variable may be affected by...

Limit distribution theory in the econometric literature for functional coefficient cointegrating regression is incorrect in important ways, influencing rates of convergence, distributional properties, and practical work. The correct limit theory reveals that components from both bias and...