This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models have basically focused on models where the nonstationarity can be removed by differencing and/or where the...

This paper treats estimation in a class of new nonlinear threshold autoregressive models with both a stationary and a unit root regime. Existing literature on nonstationary threshold models have basically focused on models where the nonstationarity can be removed by differencing and/or where the...

This paper proposes a nonparametric simultaneous test for parametric specification of the conditional mean and variance functions in a time series regression model. The test is based on an empirical likelihood (EL) statistic that measures the goodness-of-fit between the parametric estimates and...