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ADL tests for threshold cointegration

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Author Info

  • Jing Li

    ()
    (Department of Economics, South Dakota State University)

  • Junsoo Lee

    (Department of Economics, Finance, and Legal Studies, University of Alabama)

Abstract

In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable. The cointegrating vector in this paper is not pre-specied. We adopt a supremum Wald type test to account for the so-called Davies problem. Theasymptotic 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.

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File URL: http://repec-sda.sdstate.edu/repec/sda/pdf/ADL_Threshold_April_2009.pdf
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Bibliographic Info

Paper provided by South Dakota State University, Department of Economics in its series SDSU Working Papers in Progress with number 22009.

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Length: 35 pages
Date of creation: Apr 2009
Date of revision:
Handle: RePEc:sda:workpa:22009

Contact details of provider:
Postal: Box 504, Scobey Hall, Brookings, SD 57007-0895
Phone: 605-688-4141
Fax: 605-688-6386
Web page: http://www.sdstate.edu/econ/
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Keywords: Econometric Theory; Time Series;

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References

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Citations

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Cited by:
  1. Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 201204, University of Pretoria, Department of Economics.
  2. Wen-Yi Chen, 2013. "Does Housing Cost Affect Birth Rates in Taiwan? The ADL Test for Threshold Co-integration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 90-103, October.
  3. Asier Minondo & Francisco Requena-Silvente, 2011. "Exporters' characteristics and the margins of trade," Working Papers 1117, Department of Applied Economics II, Universidad de Valencia.
  4. Peter Sephton & Janelle Mann, 2013. "Threshold Cointegration: Model Selection with an Application," Journal of Economics and Econometrics, Economics and Econometrics Research Institute (EERI), Brussels, vol. 56(2), pages 54-77.
  5. Tsangyao Chang & Chia-hao Lee & Pei-I Chou, 2011. "Purchasing power parity in G-7 countries: Further evidence based on ADL test for threshold cointegration," Economics Bulletin, AccessEcon, vol. 31(2), pages 1172-1182.
  6. Tsangyao Chang & Chia-hao Lee & Guochen Pan, 2012. "Purchasing Power Parity in African Countries: Further Evidence based on the ADL Test for Threshold Cointegration," Economics Bulletin, AccessEcon, vol. 32(1), pages 220-228.

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