tsDyn (version 0.7-23)

TVECM.SeoTest: No cointegration vs threshold cointegration test

Description

Test the null of no cointegration against threshold cointegration with bootstrap distribution of Seo (2006)

Usage

TVECM.SeoTest(data,lag, beta, trim=0.1,nboot, plot=FALSE,check=FALSE)

Arguments

data

time series

lag

Number of lags to include in each regime

beta

Pre-specified cointegarting value

trim

trimming parameter indicating the minimal percentage of observations in each regime

nboot

Number of bootstrap replications

plot

Whether a grid with the SSR of each threshold should be printed

check

Possiblity to check the function by no sampling: the test value should be the sme as in the original data

Value

• A list cointaining diverse informations:

  Estimated threshold parameters and usual slope parameters.

  Value of the test.

  Critical and Pvalue from bootstrap distribution.

Details

For this test, the cointegrating value has to be specified by the user.

The model used is one where the threshold effect concerns only the cointegrating vector, and only in the outer regimes.

Due to the presence of parameters unidentified under the null hypothesis, the test employed is a Sup-Wald test, that means that for each combination of the thresholds, a Wald Test is computed and the supremum of all tests is taken. For each bootstrap replication, this approach is taken, so that the test is really slow.

References

Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, vol. 127(1), pages 129-150, September.