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 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