This study suggests a basis for the division of spatial housing submarkets in enhancing the understanding of housing markets. The theoretical background of the division is based upon the relationship between commuting patterns and the structure of house prices. An examination of the process of...

In this paper, we look for new opportunities that can be exploited using some of the recent developments on the theory of nonlinear models with integrated time series. Heuristic introductions on the basic tools and asymptotics are followed by the opportunities in three different directions: in...

We consider ARCH processes with persistent covariates and provide asymptotic theories that explain how such covariates affect various characteristics of volatility. Specifically, we propose and study a volatility model, named ARCH-NNH model, that is an ARCH(1) process with a nonlinear function...

In this paper we establish the strong approximations for the nonlinear transformations of integrated time series. Both the asymptotically homogeneous and integrable transformations are considered, and the explicit rates for the convergence to their limit distributions are obtained under mild...

This paper develops the large sample theory for econometric models with time series having roots in proximity of unity. In particular, a special attention is given to the time series with roots outside the n-1-neighborhood of unity, called the weak unit roots. They are the processes with roots...

This paper considers the regression with errors having nonstationary nonlinear heteroskedasticity. For both the usual stationary regression and the nonstationary cointegrating regression, we develop the asymptotic theories for theleast squares methods in the presence of conditional heterogeneity...

This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against certain non-martingale alternatives. The class of alternative processes against which our test has power is very general and it encompasses many...