finding sufficient evidence for cointegration in a first step. The extent of oversizing the test for long-run asymmetry … depends inversely on the power of the primary cointegration test. Hence, tests for long-run asymmetry become invalid in cases …

-known residual-based test for cointegration in linear models by Engle and Granger (1987) and obtain its nonlinear analogue. We derive … cointegration, whereas the linear-based tests fail to do so. Further analysis of impulse response functions of error correction …

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 …

the CVAR equation as a result of a data generating process distortion is limited by its presence in the cointegration …

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean …

I(1) process ; nonrational transfer function ; cointegration ; VARMA process ; information criteria …

nonlinear unit root and asymmetric cointegration analysis. Our empirical results show significant asymmetric PPP effects between …

periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

Standard autocorrelation corrections applied to cointegrating regressions can lead to erroneous first …-differencing. Such outcomes are shown to be possible under a range of environments, including cases with autocorrelation coefficients …