Threshold effects in cointegrating relationships

Jean-Yves Pitarakis
Authors registered in the RePEc Author Service: Jesus Gonzalo

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: In this paper we introduce threshold type nonlinearities within a single equation cointegrating regression model and propose a testing procedure for testing the null hypothesis of linear cointegration versus cointegration with threshold effects. Our framework allows the modelling of long run equilibrium relationships that may switch according to the magnitude of a threshold variable assumed to be stationary and ergodic and thus constitutes an attempt to deal econometrically with the potential presence of multiple equilibria. The framework is flexible enough to accomodate regressor endogeneity and serial correlation.

Keywords: Nonlinear; cointegration; Multiple; long; run; equilibria; Thresholds; Nonlinear; dynamics; Unit; roots (search for similar items in EconPapers)
Date: 2006-06-21
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

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Journal Article: Threshold Effects in Cointegrating Relationships* (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we20060621

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