Introduction; Yoosoon Chang, Sokbae Lee, and J. Isaac Miller
Part I: Nonstationarity, Unit Roots, and Fractional Noise
Chapter 1. Discrete Fourier Transforms of Fractional Processes with Econometric Applications; Peter C.B. Phillips
Chapter 2. Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise; Xiaohu Wang, Weilin Xiao, and Jun Yu
Chapter 3. Powerful Self-Normalizing Tests for Stationarity Against the Alternative of a Unit Root; Uwe Hassler and Mehdi Hosseinkouchack
Chapter 4. A sequential Test for a Unit Root in Monitoring a p-th Order Autoregressive Process; Kohtaro Hitomi, Keiji Nagai, Yoshihiko Nishiyama, and Junfan Tao
Part II: Nonlinearity
Chapter 5. Functional-Coefficient Cointegrating Regression with Endogeneity; Han-Ying Liang, Yu Shen, and Qiying Wang
Chapter 6. A Specification Test Based on Convolution-Type Distribution Function Estimates for Non-Linear Autoregressive Processes; Kun Ho Kim, Kira L. Koul, and Jiwoong Kim
Chapter 7. Transformation Models with Cointegrated and Deterministically Trending Regressors; Yingqian Lin and Yundong Tu
Chapter 8. Minimax Risk in Estimating Kink Threshold and Testing Continuity; Javier Hidalgo, Heejun Lee, Jungyoon Lee, and Myung Hwan Seo
Part III: Inference and Prediction using Models with Trending Series
Chapter 9. Semiparametric Independence Tests Between Two Infinite-Order Cointegrated series; Chafik Bouhaddioui, Jean-Marie Dufour, and Masaya Takano
Chapter 10. Inference in Conditional Vector Error-Correction Models with a Small Signal-To-Noise Ratio; Nikolay Gospodinov, Alex Maynard, and Elena Pesavento
Chapter 11. Some Extensions of Asymptotic F and t Theory in Nonstationary Regressions; Yixiao Sun
Chapter 12. Non-Stationary Parametric Single-Index Predictive Models: Simulation and Empirical Studies; Ying Zhou, Hsein Kew, and Jiti Gao
Chapter 13. Best Linear Prediction in Cointegrated Systems; Yun-Yeong Kim
