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Adl Tests for Threshold Cointegration

Jing LiJunsoo Lee

出版	SSRN, 2010
URL	http://books.google.com.hk/books?id=Wr3azwEACAAJ&hl=&source=gbs_api

註釋

In this article, we propose new tests for threshold cointegration using an autoregressive distributed lag (ADL) model. The indicators in the threshold model can adopt either a nonstationary or stationary threshold variable. The cointegrating vector is not prespecified in this article. We adopt a supremum Wald type test to account for the so-called Davies (1987, Biometrika 74,33) problem. The asymptotic null distributions of the proposed tests are free of nuisance parameters. As such, a bootstrap procedure is not required and the critical values of the proposed tests are tabulated. Monte Carlo experiments show good finite-sample performance.