We explore the properties of a Wald type test statistic for detecting the presence of threshold effects in time series when the underlying process could be nearly integrated as opposed to having an exact unit root. We derive its limiting distribution and establish its equivalence to a normalised...

This study focuses on the question whether nonlinear transformation of lagged time series values and residuals are able to systematically improve the average forecasting performance of simple Autoregressive models. Furthermore it investigates the potential superior forecasting results of a...

We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...