This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...

This paper proposes a new near-unit root test for a class of high-dimensional nonstationary time series. A central limit theorem for the proposed test is proposed and then evaluated by an extensive simulation study

This paper proposes a new unit-root test for the case where a high-dimensional vector of nonstationary time series is considered. A new CLT is being established and studied both theoretically and numerically

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined

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...