This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined

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 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

We investigate some estimation and testing issues for a class of high-dimensional near unit root time series models. We first study the asymptotic behavior of the first k largest eigenvalues of the sample covariance matrices of the time series model. Then we propose a new estimator for the...