An Empirical Study on Relationship between Residents’ Disposable Income and CPI Based on TVECM: Application of Bootstrap SupLM Testing for Threshold Cointegration

Based on the fluctuation characteristics of residents’ disposable income and CPI (Consumer Price Index) in different periods, this article introduces a nonlinear threshold cointegration theory, establishes TVECM (Threshold Vector Error Correction Model) CPI. We propose an algorithm to obtain maximum likelihood estimation under condition vector value which are unknown then SupLM test for presence threshold. The asymptotic distribution statistic is analyzed, it appears depend moment functionals, so tabulated critical values unavailable. discuss how residual bootstrap can be used calculate p values, investigate size power using Monte Carlo simulation, find that works quite well. In empirical section, we apply our methods estimate According experimental results, causal relationship between mechanisms tested compared with results linear hypothesis. show residents belong two-mechanism system. When deviation from equilibrium state exceeds value, system may adjust state, adjustment speed shall faster than income.