Adl Tests for Threshold Cointegration

14 Pages Posted: 14 Jun 2010

See all articles by Jing Li

Jing Li

South Dakota State University

Junsoo Lee

University of Alabama - Department of Economics, Finance and Legal Studies

Abstract

In this article, we propose new tests for threshold cointegration using an autoregressive distributed lag (ADL) model. The indicators in the threshold model can adopt either a nonstationary or stationary threshold variable. The cointegrating vector is not prespecified in this article. We adopt a supremum Wald type test to account for the so-called Davies (1987, Biometrika 74,33) problem. The asymptotic null distributions of the proposed tests are free of nuisance parameters. As such, a bootstrap procedure is not required and the critical values of the proposed tests are tabulated. Monte Carlo experiments show good finite-sample performance.

Suggested Citation

Li, Jing and Lee, Junsoo, Adl Tests for Threshold Cointegration. Journal of Time Series Analysis, Vol. 31, Issue 4, pp. 241-254, July 2010, Available at SSRN: https://ssrn.com/abstract=1622962 or http://dx.doi.org/10.1111/j.1467-9892.2010.00659.x

Jing Li

South Dakota State University

2220 10th St Apt #1
Brookings, SD South Dakota 57007-0895
United States

Junsoo Lee

University of Alabama - Department of Economics, Finance and Legal Studies ( email )

P.O. Box 870244
Tuscaloosa, AL Alabama 35487
United States
2053488978 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
5
Abstract Views
509
PlumX Metrics