In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of structural breaks in the equilibrium equation. We propose a simple procedure to simultaneously estimate the previously unknown breakpoint and test the null hypothesis of no...

This paper investigates the properties of tests for asymmetric long-run adjustment which are often applied in empirical studies on asymmetric price transmissions. We show that substantial size distortions are caused by preconditioning the test on finding sufficient evidence for cointegration in...

Considering structural break autoregressive (SBAR) processes and following recent literature, the problem of estimating the unknown number of change-points is cast as a model selection problem. The adaptive group Lasso is used to select the number of change-points for which parameter estimation...