A New Class of Bivariate Threshold Cointegration Models

In this article, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a compact region, the processes are cointegrated, while in the compact region, we allow different kinds of possibilities. We show that the bivariate processes form a 1/2-null recurrent s...

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Veröffentlicht in:	Journal of business & economic statistics 2017-04, Vol.35 (2), p.288-305
Hauptverfasser:	Cai, Biqing, Gao, Jiti, Tjøstheim, Dag
Format:	Artikel
Sprache:	eng
Schlagworte:	Cointegration Markov chain Monte Carlo simulation Threshold VAR models β-null recurrent
Online-Zugang:	Volltext
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