ADL tests for threshold cointegration
Jing Li () and
Junsoo Lee ()
No 22009, SDSU Working Papers in Progress from South Dakota State University, Department of Economics
In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable. The cointegrating vector in this paper is not pre-specied. We adopt a supremum Wald type test to account for the so-called Davies problem. Theasymptotic null distributions of the proposed tests are free of nuisance parameters. As such, a bootstrap procedure is not required and critical values of the proposed tests are tabulated. A Monte Carlo experiment shows a good finite-sample performance of the proposed tests.
Keywords: Econometric Theory; Time Series (search for similar items in EconPapers)
JEL-codes: C12 C15 C32 (search for similar items in EconPapers)
Pages: 35 pages
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: ADL tests for threshold cointegration (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:sda:workpa:22009
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