协整向量、调节参数同为非线性的阈值协整检验

针对经济变量的长期均衡和短期调节关系可能同时存在非线性的事实，本文扩展现有阈值协整模型，提出了协整向量、调节参数都为非线性的阈值协整模型，并着重探讨了该模型的检验方法。研究表明，在协整关系的检验中，Wald统计量有较好的有限样本性质。在协整关系的非线性检验中，LMW和LMG统计量的水平扭曲和检验势都较好。在调节参数的非线性检验中，当调节参数具有显著的非线性时，LMH统计量表现出较好的有限样本性质。

Test of Threshold Cointegration Model with Nonlinear Cointegration Vector and Nonlinear Adjustment Parameter

Based on the economic practice that the relationships of long-run equilibrium and short-term of economic variables are nonlinear, the paper proposes threshold cointegration model with nonlinear cointegration vector and nonlinear adjustment parameter, and also studies the test methods. This study shows that in the test of cointegration, the Wald statistics has better finite sample properties. Among the nonlinear test of cointegration relationship, LMW and LMG statistics have small distortion size and high power. When test the nonlinear of adjustment parameter, LMH statistics has good finite sample properties while the nonlinear characteristic of adjustment parameter is significant.