Single-equation ADL tests for threshold cointegration
نویسندگان
چکیده
In this paper, we propose new tests for threshold cointegration in the conditional autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable. The proposed tests are appropriate when the conditioning variables are weakly exogenous. The cointegrating vector in this paper is not pre-specified. We adopt a supremum Wald type test to account for the socalled Davies problem. The asymptotic 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. JEL classification: C12; C15; C32
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