We consider nonparametric estimation and testing of linearity in a panel of intercorrelated time series. We place the emphasis on the situation where there are many time series in the panel but few observations for each of the series. The intercorrelation is described by a latent process, and a...

This paper surveys some of the recent developments in nonlinear analysis of economic time series. The emphasis lies on stochastic models. Various classes of nonlinear models appearing in the economics and time series literature are presented and discussed. Linearity testing and estimation of...

The ordinary spectrum is restricted in its applications, since it is based on the second-order moments (auto- and cross-covariances). Alternative approaches to spectrum analysis have been investigated based on other measures of dependence. One such approach was developed for univariate time...

This paper establishes several results for uniform convergence of nonparametric kernel density and regression estimates for the case where the time series regressors concerned are nonstationary null-recurrent Markov chains. Under suitable conditions, certain rates of convergence are also...

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...