arXiv 10 Sep 2025 · Statistics — Methodology
arXiv:2509.08591 · PDF · DOI · OpenAlex · Extracted main text
This paper studies a regression model with functional dependent and explanatory variables, both of which exhibit nonstationary dynamics. The model assumes that the nonstationary stochastic trends of the dependent variable are explained by those of the explanatory variables, and hence that there exists a stable long-run relationship between the two variables despite their nonstationary behavior. We also assume that the functional observations may be error-contaminated. We develop novel autocovariance-based estimation and inference methods for this model. The methodology is broadly applicable to economic and statistical functional time series with nonstationary dynamics. To illustrate our methodology and its usefulness, we apply it to evaluating the global economic impact of climate change, an issue of intrinsic importance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Beare, B. K., Seo, J., and Seo, W.-K (2017) Cointegrated linear processes in Hilbert space self | 0.928 | 4 | 3 | 100% |
| 2 | Chang, Y., Kim, C. S., and Park, J. Y (2016) Nonstationarity in time series of state densities | 0.894 | 7 | 4 | 71% |
| 3 | Chen, C., Guo, S., and Qiao, X (2022) Functional linear regression: Dependence and error contamination | 0.874 | 6 | 2 | 100% |
| 4 | Park, J. Y. and Qian, J (2012) Functional regression of continuous state distributions | 0.874 | 5 | 2 | 100% |
| 5 | Seong, D. and Seo, W.-K (2025) Functional instrumental variable regression with an application to estimating the impact of immigration on native wages self | 0.862 | 25 | 5 | 64% |
| 6 | Chang, Y., Hu, B., and Park, J. Y (2024) Econometric analysis of functional dynamics in the presence of persistence | 0.843 | 3 | 3 | 100% |
| 7 | Seo, W.-K. and Shang, H. L (2024) Fractionally integrated curve time series with cointegration self | 0.843 | 3 | 3 | 100% |
| 8 | Seo, W.-K (2024) Functional principal component analysis for cointegrated functional time series self | 0.794 | 18 | 5 | 50% |
| 9 | Bosq, D (2000) Linear Processes in Function Spaces | 0.737 | 4 | 2 | 75% |
| 10 | Nielsen, M. ., Seo, W.-K., and Seong, D (2024) Inference on common trends in functional time series self | 0.737 | 3 | 3 | 67% |
Showing the top 10 of 56 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 1cm Inference on common trends in functional time series | 0.511 | 2 | 1 |