Enders, Walter; Im, Kyung So; Lee, Junsoo; Strazicich, … - In: Economic Modelling 27 (2010) 6, pp. 1463-1472
The usual cointegration tests often entail nuisance parameters that hinder precise inference. This problem is even more pronounced in a nonlinear threshold framework when stationary covariates are included. In this paper, we propose new threshold cointegration tests based on instrumental...