Threshold Cointegration: Model Selection with an Application

Peter S. Sephton · Janelle Mann

15 citations0/0 files storedJournal of Economics and Econometrics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

Abstract

In this article we examine the performance of an extended approach to testing for threshold cointegration that relies on the threshold specification process suggested by Gonzalo and Pitarakis (2002) and the block-bootstrap threshold unit root test of Seo (2008). A topical application demonstrates its merits.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1992Efficient Tests for an Autoregressive Unit Root 1998Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework 2001Cointegration and Threshold Adjustment 2002Testing for two-regime threshold cointegration in vector error-correction models 2012Threshold cointegration and nonlinear adjustment between CO2 and income: The Environmental Kuznets Curve in Spain, 1857–2007 2005Bootstrap testing for the null of no cointegration in a threshold vector error correction model 2009Vegetable oil market and biofuel policy: An asymmetric cointegration approach

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