ADL tests for threshold cointegration
In this article, we propose new tests for threshold cointegration using an autoregressive distributed lag (ADL) model. The indicators in the threshold model can adopt either a nonstationary or stationary threshold variable. The cointegrating vector is not prespecified in this article. We adopt a supremum Wald type test to account for the so-called Davies (1987, Biometrika <b>74</b>,33) problem. The asymptotic null distributions of the proposed tests are free of nuisance parameters. As such, a bootstrap procedure is not required and the critical values of the proposed tests are tabulated. Monte Carlo experiments show good finite-sample performance. Copyright Copyright 2010 Blackwell Publishing Ltd
Year of publication: |
2010
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Authors: | Li, Jing ; Lee, Junsoo |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 31.2010, 4, p. 241-254
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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