Threshold Effects in Cointegrating Relationships*
在单方程协整回归模型中引入阈值型非线性，提出检验线性协整与阈值效应协整的方法，允许长期均衡关系随阈值变量变化，处理了内生性和序列相关。
Abstract In this paper, we introduce threshold‐type nonlinearities within a single‐equation cointegrating regression model and propose a testing procedure for testing the null hypothesis of linear cointegration vs. cointegration with threshold effects. Our framework allows the modelling of long‐run equilibrium relationships that may change according to the magnitude of a threshold variable assumed to be stationary and ergodic, and thus constitutes an attempt to deal econometrically with the potential presence of multiple equilibria. The framework is flexible enough to accommodate regressor endogeneity and serial correlation.