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Threshold Cointegration: Model Selection with an Application

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  • Peter Sephton
  • Janelle Mann

Abstract

In this article we examine the performance of an extended approach to testing for threshold cointegration that relies on the threshold specification process suggested by Gonzalo and Pitarakis (2002) and the block-bootstrap threshold unit root test of Seo (2008). A topical application demonstrates its merits.

Suggested Citation

  • Peter Sephton & Janelle Mann, 2013. "Threshold Cointegration: Model Selection with an Application," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 56(2), pages 54-77.
  • Handle: RePEc:eei:journl:v:56:y:2013:i:2:p:54-77
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Mann, Janelle & Sephton, Peter, 2016. "Global relationships across crude oil benchmarks," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 1-5.
    2. Álvarez-Herránz, Agustín & Balsalobre, Daniel & Cantos, José María & Shahbaz, Muhammad, 2017. "Energy Innovations-GHG Emissions Nexus: Fresh Empirical Evidence from OECD Countries," Energy Policy, Elsevier, vol. 101(C), pages 90-100.
    3. Fotis, Panagiotis & Polemis, Michael, 2018. "Sustainable development, environmental policy and renewable energy use: A dynamic panel data approach," MPRA Paper 85018, University Library of Munich, Germany.
    4. Peter Sephton & Janelle Mann, 2015. "Nonlinear attractors and asymmetries between non-life insurance premiums and financial markets," Empirical Economics, Springer, vol. 49(3), pages 783-799, November.
    5. Mann, Janelle M., 2013. "Is there a Global Relationship Across Crude Oil Benchmarks?," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150368, Agricultural and Applied Economics Association.
    6. Shahbaz, Muhammad & Mahalik, Mantu Kumar & Shah, Syed Hasanat & Sato, João Ricardo, 2016. "Time-varying analysis of CO2 emissions, energy consumption, and economic growth nexus: Statistical experience in next 11 countries," Energy Policy, Elsevier, vol. 98(C), pages 33-48.
    7. repec:eee:eneeco:v:71:y:2018:i:c:p:273-281 is not listed on IDEAS

    More about this item

    Keywords

    Threshold cointegration; block bootstrapping; model selection criteria.;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F35 - International Economics - - International Finance - - - Foreign Aid
    • O23 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Fiscal and Monetary Policy in Development
    • O55 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Africa

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