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THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT TO THE LAW OF ONE PRICE [PDF]

Macroeconomic Dynamics, 2001
Previous studies investigating threshold behavior in real-exchange-rate and price difference data have used rather ad hoc statistical methods and have focused on univariate threshold models for relative prices. We utilize a general multivariate threshold cointegration model and develop a systematic testing and estimation strategy for this model ...
Ming Chien Lo, Eric Zivot
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Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships

Statistical Methodology, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Krishnakumar, Jaya, Neto, David
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Threshold Cointegration and the PPP Hypothesis

Journal of Applied Statistics, 2004
Self-Exciting Threshold Autoregressive (SETAR) models are a non-linear variant of conventional linear Autoregressive (AR) models. One advantage of SETAR models over conventional AR models lies in its flexible nature in dealing with possible asymmetric behaviour of economic variables.
Pedro Gouveia, Paulo Rodrigues
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Forecasting threshold cointegrated systems

International Journal of Forecasting, 2004
The cointegration literature suggests that forecast errors may be reduced by incorporating the knowledge of cointegrating relationships into linear models to generate forecasts. We show that the long-term (one- to sixty-steps ahead) forecasting performance can further be enhanced by applying nonlinear equilibrium correction models.
de Gooijer, J.G., Vidiella-i-Anguera, A.
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Threshold Cointegration in the Greek Milk Market

Journal of International Food & Agribusiness Marketing, 2011
This article investigates the nonlinear adjustment between consumer and producer prices in the Greek milk sector using a threshold error correction autoregressive model. The results reject the null hypothesis of linear cointegration in favor of a 2-regime threshold cointegration model.
Anthony N. Rezitis, Ioanna Reziti
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More powerful threshold cointegration tests

Empirical Economics, 2017
Threshold cointegration tests have made a big splash in the literature by allowing for asymmetric adjustment in linear cointegration tests. This paper contributes to this literature by proposing new tests to improve the power of the conventional threshold cointegration tests.
Dong-Yop Oh, Hyejin Lee, Ming Meng
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Threshold cointegration in international exchange rates:A Bayesian approach

International Journal of Forecasting, 2019
Abstract This paper considers Bayesian estimation of the threshold vector error correction (TVECM) model in moderate to large dimensions. Using the lagged cointegrating error as a threshold variable gives rise to additional difficulties that typically are solved by utilizing large sample approximations. By relying on Markov chain Monte Carlo methods,
Zörner, Thomas, Huber, Florian
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Estimating threshold cointegrated systems [PDF]

Economics Bulletin, 2005
Using simulations, the paper shows that there is a trade-off in using CLS and 2SLS on the one hand and ML on the other when estimating the parameters of a bivariate threshold vector equilibrium correction model with regime-specific cointegration vectors.
Jan G. De Gooijer, Antoni Vidiella-i-Anguera   +1 more
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Financial integration in emerging economies: an application of threshold cointegration

Studies in Nonlinear Dynamics & Econometrics, 2020
Abstract The asymmetric short – and long-run relationships between BRICS stock markets are examined using monthly stock price data from January 2001 through December 2014. The asymmetric co-integration analysis confirms the presence of a long-run association between the BRICS stock markets; where, the speed of adjustment to the ...
Ali, Sajid, Rehman, Mobeen Ur, Shahzad, Syed Jawad Hussain, Raza, Naveed, Xuan Vinh Vo   +4 more
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Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System [PDF]

, 2009
The paper generalises estimation and inference procedures for a threshold VECM with more than one cointegrating relation. We derive estimators of long-run parameters and loading factors by means of a reduced rank regression. We provide their asymptotic distributions and propose a testing procedure for the cointegrating rank.
Jaya Krishnakumar, David Neto
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