This paper proposes residual-based tests for cointegration with three-regime threshold autoregressive (TAR) adjustment. We propose Wald-type and <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$t$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>t</mi> </math> </EquationSource> </InlineEquation>-type tests that have the null hypothesis of linear no cointegration and the alternative of cointegration with three-regime TAR adjustment...</equationsource></equationsource></inlineequation>

This paper proposes an alternative procedure to test for cointegration in smooth transition autoregressive (STAR) models. We consider the exponential STAR (ESTAR) and double logistic STAR (D-LSTAR) models. The proposed tests are t-tests with a null hypothesis of no cointegration and an...

Testing for cointegration in the presence of nonlinear adjustments or structural breaks is important for examining the equilibrium relationship among economic variables. It is known that standard cointegration tests perform poorly when a cointegration relationship has nonlinear adjustments or...