Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Oxford Bulletin of Economics and Statistics 68 (2006) s1, pp. 813-833
In this paper, we introduce threshold-type nonlinearities within a single-equation cointegrating regression model and propose a testing procedure for testing the null hypothesis of linear cointegration vs. cointegration with threshold effects. Our framework allows the modelling of long-run...