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Steven Cook
''Threshold autoregressive testing procedures and structural change in cointegrating relationships''
( 2005, Vol. 3 No.53 )
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.
JEL: C2 - Single Equation Models; Single Variables: General
C1 - Econometric and Statistical Methods: General
Manuscript Received : Sep 02 2005 Manuscript Accepted : Dec 07 2005

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