No cointegration vs threshold cointegration test
Description
Test the null of no cointegration against threshold cointegration with bootstrap distribution of Seo (2006)
Usage
1 2 
Arguments
data 
time series 
lag 
Number of lags to include in each regime 
beta 
Prespecified 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 
hpc 
Possibility to run the bootstrap on parallel core. See details in

check 
Possibility to check the function by no sampling: the test value should be the same as in the original data 
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 SupWald 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.
Value
A list cointaining diverse informations:
Estimated threshold parameters and usual slope parameters.
Value of the test.
Critical and Pvalue from bootstrap distribution.
Author(s)
Matthieu Stigler
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 129150, September.
See Also
TVECM
for estimating a TVECM, TVECM.sim
for simulating/bootstrap a TVECM,
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13  # As the function takes long long time to be executed, we show in in don't run environement
## Not run:
data(zeroyld)
#can be useful to check whether the bootstrap is working:
#without sampling, results of boot should be same as original
#this is indeed not always the case duye to floating point algorithm
TVECM.SeoTest(zeroyld,lag=2, beta=1, trim=0.1,nboot=2, plot=FALSE,check=TRUE)
#then run the function:
TVECM.SeoTest(zeroyld,lag=2, beta=1, trim=0.1,nboot=100, plot=FALSE,check=FALSE)
## End(Not run)

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