Myklebust, Terje; Karlsen, Hans Arnfinn; Tjøstheim, Dag - In: Econometric Theory 28 (2012) 01, pp. 1-41
The classical nonstationary autoregressive models are both linear and Markov. They include unit root and cointegration models. A possible nonlinear extension is to relax the linearity and at the same time keep general properties such as nonstationarity and the Markov property. A null recurrent...