The importance of life expectancy is recognised in the development economics literature
because of its increasing effects on labour productivity and economic growth in long‐run …

In this paper we estimate the relationship between stock prices and exchange rates in EU
and USA during the period of recent financial crisis (2008–2012) and compare the results …

This paper studies functional coefficient regression models with nonstationary time series
data, allowing also for stationary covariates. A local linear fitting scheme is developed to …

Some recent work on the analysis of nonlinear and nonstationary time series models is
reviewed. A couple of novel results are obtained in extending nonlinear cointegrating …

This article investigates the asymptotic properties of the Gaussian quasi-maximum-
likelihood estimators (QMLE's) of the GARCH model augmented by including an additional …

Supplement to “A specification test for nonlinear nonstationary models”. Further details on
the derivations in the present paper and supporting lemmas and proofs of the main results …

Page 1 mad A. Moosa Elgar E CONOME TRICS AS A CON AR T. Exposing the Limitations and
AbuSeS Of ECOnometrics Page 2 Econometrics as a Con Art Exposing the Limitations and …

We consider a nonparametric regression model as follows: y= m (x)+ u,(1) where y is an
observable scalar random variable, and x is a dx× 1 vector of regressors and may be …

This paper studies estimation in threshold regression with endogeneity in the regressors
and thresholding variable. Three key results differ from those in regular models. First, both …

The consistency of Nadaraya--Watson estimators in nonparametric regression is proved
without using traditional conditions for dependence of design elements (regressors). A …