Cai, Biqing; Gao, Jiti; Tjostheim, Dag - Department of Econometrics and Business Statistics, … - 2015
In this paper, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a compact region, the processes are cointegrated, while in the compact region, we allow different kinds of possibilities. We show that the bivariate processes from a 1/2-null recurrent...