Testing for two-regime threshold cointegration in vector error-correction models

@inproceedings{Hansena2002TestingFT,
  title={Testing for two-regime threshold cointegration in vector error-correction models},
  author={Bruce E. Hansena and Byeongseon Seob},
  year={2002}
}
  • Bruce E. Hansena, Byeongseon Seob
  • Published 2002
This paper examines a two-regime vector error-correction model with a single cointegrating vector and a threshold e*ect in the error-correction term. We propose a relatively simple algorithm to obtain maximum likelihood estimation of the complete threshold cointegration model for the bivariate case. We propose a SupLM test for the presence of a threshold. We derive the null asymptotic distribution, show how to simulate asymptotic critical values, and present a bootstrap approximation. We… CONTINUE READING
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