Gao, Jiti; Tjøstheim, Dag; Yin, Jiying - 2011
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 … such nonlinear threshold autoregressive models using the theory of null recurrent Markov chains. Under certain assumptions …