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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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Publisher 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

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Related research
Keywords: Econometric Theory; Time Series;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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