Threshold effects in cointegrating relationships
AbstractIn 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.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we20060621.
Date of creation: Jun 2006
Date of revision:
Other versions of this item:
- Gonzalo, Jesús & Pitarakis, Jean-Yves, . "Threshold effects in cointegrating relationships," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/622, Universidad Carlos III de Madrid.
- Gonzalo, J. & Pitarakis, J., 2005. "Threshold effects in cointegrating relationships," Discussion Paper Series In Economics And Econometrics 0506, Economics Division, School of Social Sciences, University of Southampton.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, . "Threshold Effects in Cointegrating Relationships," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3230, Universidad Carlos III de Madrid.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-03 (All new papers)
- NEP-ECM-2007-03-03 (Econometrics)
- NEP-ETS-2007-03-03 (Econometric Time Series)
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