This paper investigates the finite-sample properties of the smooth transition-based cointegration test proposed by … cointegration and globally stationary D-LSTR cointegration under the alternative. As a result of the identification problem the …

cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and …

In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of … breakpoint and test the null hypothesis of no cointegration. Thereby, we extend the well-known residual-based cointegration test … Carlo experiments. We find a substantial decrease of power of the conventional threshold cointegration tests caused by a …