An IV approach, using as instruments nonlinear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the presence of cointegration across crosssectional levels. Unbalanced panels and panels with di¤ering individu...

An IV approach, using as instruments nonlinear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the presence of cointegration across cross-sectional levels. Unbalanced panels and panels with differing indivi...

We analyze a time series of global temperature anomaly distributions to identify and estimate persistent features in climate change. In our study, temperature densities, obtained from globally distributed data over the period from 1850 to 2012, are regarded as a time series of functional observations that are changing over time. We employ a formal test for the existence of functional unit roots...

The use of cointegration techniques to measure market integration and Granger Causality to establish the direction and strength by which markets influence each other is taken a stage further. The importance of first testing whether trends and cycles in the price series are deterministic or stochastic processes is pointed out. This in turn establishes the appropriate form of equations to be used...

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing fractionally integrated and long memory processes, estimating VARFIMA models, using and interpreting c...