Threshold autoregressive testing procedures and structural change in cointegrating relationships

Steven Cook ()
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Steven Cook: University of Wales Swansea

Economics Bulletin, 2005, vol. 3, issue 53, 1-11

Abstract: The finite-sample properties of threshold autoregressive cointegration tests are examined in the presence of structural changes in cointegrating relationships. It is shown that spurious asymmetric cointegration may be exhibited when there is a change in the degree of cointegration between two series.

JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2005-12-07
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