Cointegration and Threshold Adjustment
协整与阈值调整
This article proposes an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle-Granger test when there are asymmetric departures from equilibrium. We consider an application--namely, whether there exists cointegration among interest rates for instruments with different maturities. This issue has been widely tested with…