System‐Equation ADL Test for Threshold Cointegration with an Application to the Term Structure of Interest Rates
提出一种基于阈值向量自回归分布滞后模型的系统方程检验，用于未知协整向量且弱外生性不成立时的阈值协整检验，并应用于长短期利率数据，揭示非对称调整速度和角色。
Abstract This paper proposes a new system‐equation test for threshold cointegration based on a threshold vector autoregressive distributed lag (ADL) model. The new test can be applied when the cointegrating vector is unknown and when weak exogeneity fails. The asymptotic null distribution of the new test is derived, critical values are tabulated and finite‐sample properties are examined. In particular, the new test is shown to have good size, so the bootstrap is not required. The new test is illustrated using the long‐term and short‐term interest rates. We show that the system‐equation model can shed light on both asymmetric adjustment speeds and asymmetric adjustment roles. The latter is unavailable in the single‐equation testing strategy.