Threshold autoregressive testing procedures and structural change in cointegrating relationships

The finite-sample properties of threshold autoregressive cointegration tests are examined in the presence of structural changes in cointegrating relationships. It is shown that spurious asymmetric cointegration may be exhibited when there is a change in the degree of cointegration between two series.

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Year of publication:	2005
Authors:	Cook, Steven
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2005, 53, p. 1-11
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C2 - Econometric Methods: Single Equation Models ; C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005110703