Nonstationary processes with a threshold

 

摘要：A review is given of probability theory of some nonstationary processes, in particular null recurrent Markov chains. Estimation, both parametric and nonparametric, for nonlinear models will be briefly surveyed in this context.. In the rest of the talk the emphasis will be on nonstationary threshold processes and a new model for threshold cointegration.Illustrations will be given using simulation and an empirical example.