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...

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...