L'ajustement à seuildes processus cointégrés. Que sait-on des modèles à trois régimes ?

Threshold adjustment of cointegrated processes What do we know about three-regime models? This paper focuses on the threshold cointegration concept as introduced by Balke and Fomby in 1997 within three-regime threshold models. The main goal is to propose an overview of this ever growing literature, stressing not only the recent advances in econometric theory but also its current limits. This is illustrated by an application to the term structure of interest rates, using weekly US data from 1960 to 2003.