Showing 1 - 10 of 12
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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...
Persistent link: https://www.econbiz.de/10009406276
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...
Persistent link: https://www.econbiz.de/10009406282
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
Persistent link: https://www.econbiz.de/10012872351
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
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