A New Class of Bivariate Threshold Cointegration Models

In this paper, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a compact region, the processes are cointegrated, while in the compact region, we allow different kinds of possibilities. We show that the bivariate processes from a 1/2-null recurrent system. We also find that the convergence rate for the estimators for the coefficients in the outside regime is