The well-known lack of power of unit-root tests has often been attributed to the short length of macroeconomic variables and also to data-generating processes (DGPs) departing from the "I"(1)-"I"(0) models. This paper shows that by using long spans of annual real gross national product (GNP) and...

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...