Critical values of the GLS TAR and GLS MTAR cointegration tests under consistent threshold estimation

Abstract

In this paper, we consider the generalized-least-squares (GLS) threshold autoregressive (TAR) and the GLS momentum-TAR (MTAR) cointegration tests when employing consistently estimated threshold values. We simulate the finite-sample critical values for these tests with different sample sizes, varying number of variables and lagged changes in the threshold models. The critical values are useful for empirical studies using threshold cointegration analysis.