Dr. WOO Kai YinDr. LEE Shu Kam2024-04-222024-04-222015file:///C:/Users/libsltse/Downloads/WPWorking_Paper_2015_Aug_Woo_LeeCV.pdfhttp://hdl.handle.net/20.500.11861/954439 pagesIn 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.enWorking Paper