This dissertation research focuses on modeling and evaluating multivariate uncertainties and the dependency between the uncertainties. Managing risk and making strategic decisions under uncertainty is critically important for both individual and corporate success. In this dissertation research,...

We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.