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Is integration I(d) applicable to observed economics and finance time series?

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Persistent link: https://www.econbiz.de/10003880011

Estimation in threshold autoregressive models with a stationary and a unit root regime

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Regression with a slowly varying regressor in the presence of a unit root

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A bootstrap stationarity test for predictive regression invalidity

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Estimation in Threshold Autoregressive Models with a Stationary and a Unit Root Regime

Gao, Jiti; Tjøstheim, Dag; Yin, Jiying - 2010

such nonlinear threshold autoregressive models using the theory of null recurrent Markov chains. Under certain assumptions … nonstationary regime. The proposed theory and estimation method are illustrated by both simulated and real data examples …

Persistent link: https://www.econbiz.de/10014191160