Nonlinear threshold error correction in panels

The research aims to draw the two distinct developments of nonlinear dynamic adjustment and use of balanced panels together and apply them to the analysis of cointegration in nonstationary data. The main aim is to propose and analyse the properties of tests for cointegration and for the existence of nonlinear threshold dynamics in balanced panels. A further aim is to examine the properties of estimators obtained from cointegrating panels with nonlinear threshold dynamics. Explicitly the research project will; 1) Develop the relevant asymptotic theory for the case where the parameter determining the speed of adjustment in an error correction mechanism is subject to nonlinear threshold effect; 2) Develop the asymptotic theory for testing cointegration in dynamic panels; 3) Extend the results in 1) to balanced dynamic panels that contain cointegrating relationships between nonstationary variables.