A1537
Title: Multiple long-run equilibria: Threshold cointegration
Authors: Jesus Gonzalo - Universidad Carlos III de Madrid (Spain) [presenting]
Jun Yi Peng - Universidad Carlos III de Madrid (Spain)
Abstract: The extension of linear cointegration to a non-linear framework has always considered a single long-run equilibrium: non-linearity comes from the adjustment toward it. Non-linear cointegration with multiple long-run equilibria is analyzed via threshold cointegration. It develops the testing (non-linear cointegration), inference (threshold cointegration) and representation theorem (quasi ECM). Several applications are shown where cointegration with different equilibria is not rejected while standard linear cointegration is.
