The long-run equilibrium relationship among money, income, prices, and interest rates in Japan is investigated by the threshold cointegration test, which allows for asymmetric adjustment, introduced by Enders and Siklos (2001). The threshold cointegration approach provides clear evidence of the...

Tests for a unit root using three-regime threshold autoregressive (TAR) models play a significant role in the empirical analysis of some economic theories. This article compares the powers of recently proposed unit root tests in three-regime TAR models using Monte Carlo experiments. The...

This study proposes a unit root test for a time series having a mean shift at an unknown point. The proposed test using a variance ratio as a test statistic can be used to test a wide range of linear and nonlinear processes characterized by a mean shift. Monte Carlo simulations indicate that our...

This paper examines the size performance of Breitung's [2002. Nonparametric tests for unit roots and cointegration. J. Econometrics 108, 343-363.] nonparametric unit root test in the presence of a variance shift. We show that the limiting distribution of the test statistic in the presence of a...

This paper investigates the term structure of interest rates in Japan using the unit root test in a nonlinear STAR framework. The results provide strong evidence against the unit root of the yield spread between long-term and short-term interest rates, compared with standard unit root tests...

This paper investigates the equilibrium relationship between the nominal interest rate and inflation rate in Japan using a threshold cointegration test, which allows for asymmetric adjustment. While the Engle-Granger method assuming symmetric adjustment cannot obtain the result of cointegration,...

The term structure of interest rates in Japan is analysed by means of a cointegration test in a non-linear smooth transition autoregression (STAR) framework. The STAR approach tests for the null hypothesis with no cointegration against cointegration including a globally stationary process. The...

This paper introduces cointegration tests allowing for an unknown number of breaks. The introduced tests assume that the unspecified number of breaks is smaller than or equal to the maximum number of breaks set a priori. Monte Carlo simulations provide two main results. First, the proposed tests...