Testing for two-regime threshold cointegration in vector error-correction models

摘要: This paper examines a two-regime vector error-correction model with single cointegrating and threshold effect in the term. We propose relatively simple algorithm to obtain maximum likelihood estimation of complete cointegration for bivariate case. SupLM test presence threshold. derive null asymptotic distribution, show how simulate critical values, present bootstrap approximation. investigate performance using Monte Carlo simulation, find that works quite well. Applying our methods term structure interest rates, we strong evidence effect.