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Threshold Cointegration: Model Selection with an Application

Peter Sephton (peter.sephton@queensu.ca) and Janelle Mann

Journal of Economics and Econometrics, 2013, vol. 56, issue 2, 54-77

Abstract: In this article we examine the performance of an extended approach to testing for threshold cointegration that relies on the threshold specification process suggested by Gonzalo and Pitarakis (2002) and the block-bootstrap threshold unit root test of Seo (2008). A topical application demonstrates its merits.

Keywords: Threshold cointegration; block bootstrapping; model selection criteria. (search for similar items in EconPapers)
JEL-codes: C23 F35 O23 O55 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (15)

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