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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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, 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.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- 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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
- George Kapetanios & Yongcheol Shin & Andy Snell, 2003. "Testing for Cointegration in Nonlinear STAR Error Correction Models," Working Papers 497, Queen Mary, University of London, School of Economics and Finance.
- Pitarakis, Jean-Yves, 2012. "Functional cointegration: definition and nonparametric estimation," MPRA Paper 38846, University Library of Munich, Germany.
- Traub, Lulama Ndibongo & Myers, Robert J. & Jayne, Thomas S. & Meyer, Ferdinand H., 2010. "Measuring Integration and Efficiency in Maize Grain Markets: The Case of South Africa and Mozambique," 2010 AAAE Third Conference/AEASA 48th Conference, September 19-23, 2010, Cape Town, South Africa 96644, African Association of Agricultural Economists (AAAE) & Agricultural Economics Association of South Africa (AEASA).
- Gotz, Linde & Qiu, Feng & Gervais, Jean-Philippe & Glauben, Thomas, 2012. "Export Restrictions And Multiple Spatial Price Equilibria When International Prices Spike: Export Quotas For Wheat In Ukraine," 2012: New Rules of Trade?, December 2012, San Diego, California 143179, International Agricultural Trade Research Consortium.
- repec:ebl:ecbull:v:30:y:2010:i:1:p:265-273 is not listed on IDEAS
- Markus Eberhardt, 2013. "Nonlinearities in the Relationship between Debt and Growth: Evidence from Co-Summability Testing," Discussion Papers 2013/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Goetz, Linde & von Cramon-Taubadel, Stephan, 2008. "Considering threshold effects in the long-run equilibrium in a vector error correction model: An application to the German apple market," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 44247, European Association of Agricultural Economists.
- Haiqiang Chen, 2013. "Robust Estimation and Inference for Threshold Models with Integrated Regressors," SFB 649 Discussion Papers SFB649DP2013-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Ankamah-Yeboah, Isaac, 2012. "Spatial Price Transmission in the Regional Maize Markets in Ghana," MPRA Paper 49720, University Library of Munich, Germany.
- Guillaume Chevillon & Sophocles Mavroeidis, 2013.
"Learning generates Long Memory,"
- Anne laure Delatte & Julien Fouquau, 2010.
"Smooth transition in China: New evidence in the cointegrating money demand relationship,"
AccessEcon, vol. 30(1), pages 265-273.
- Julien Fouquau & Anne-Laure Delatte, 2010. "Smooth transition in China: New evidence in the cointegrating money demand relationship," Post-Print hal-00565520, HAL.
- Marçal, Emerson Fernandes & Valls Pereira, Pedro L., 2012. "Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break," Textos para discussÃ£o 314, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- Götz, Linde & Qiu, Feng & Gervais, Jean-Philippe & Glauben, Thomas, 2013. "Export Restrictions and Multiple Spatial Price Equilibria: Export Quotas for Wheat in Ukraine," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156135, German Association of Agricultural Economists (GEWISOLA).
- Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, School of Economics and Management, University of Aarhus.
- Bruno Larue & Jean-Philippe Gervais & Yannick Rancourt, 2010. "Exchange rate pass-through, menu costs and threshold cointegration," Empirical Economics, Springer, vol. 38(1), pages 171-192, February.
- Stephens, Emma C. & Mabaya, Edward T., 2008. "Spatial Price Adjustment with and without Trade," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6538, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Araujo-Enciso, Sergio Rene, 2011. "The Takayama and Judge Price and Allocation Model and its Application in Non-linear Techniques for Spatial Market Integration," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114225, European Association of Agricultural Economists.
- Peri, Massimo & Baldi, Lucia, 2010. "Vegetable oil market and biofuel policy: An asymmetric cointegration approach," Energy Economics, Elsevier, vol. 32(3), pages 687-693, May.
- Vanessa Berenguer Rico & Jesús Gonzalo, 2013. "Co-summability from linear to non-linear cointegration," Economics Working Papers we1312, Universidad Carlos III, Departamento de Economía.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.