| This dissertation introduces kinds of methods of specification, estimation and test for Threshold Cointegration after explaining the meaning and dynamics of contemporary research on Threshold Cointegration. Then we expound the theoretical implication and economical application of Threshold Cointegration. After that, we use Monte Carlo to compare and evaluate all the tests to approve the relevant conclusions we draw. Besides, we test velocity of currency using Threshold Cointegration Model, that is, to confirm whether the Threshold Cointegration relationship between velocity of currency and gross goods in economic parties exists or not. Through this analysis, we introduce this nonlinear cointegration to Chinese empirical field. Finally, we summarize those conclusions based on our analysis.The main creative work of this dissertation lies on the following two aspects.One lies on that we adopt Monte Carlo to calculate the effectiveness of all the tests to evaluate and compare these tests, which includes a comparison between the traditional non-parametrical tests and the currently proposed tests. In particular, we employ the Non-parametrical Cointegration test which not based on the resid of cointegration------ Johansen rank test to get a more comprehensive understanding of this new method compared with the traditional one in the first step of testing the global cointegration behavior.The other lies on that we initially put asymmetric, nonlinear cointegration model into use on the velocity of currency in China. Although there are relevant empirical works in other countries, nobody has employed Threshold Cointegration on fields like the relationship between velocity of currency and gross goods in economic parties, the much less have they referred to Threshold Cointegration. Our analysis makes research on velocity of currency more close to the real world and it can provide more sufficient and detailed reference for other scholars and policy makers. |
PDF Full Text Request