Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships

This paper is concerned with the estimation and inference for a threshold VECM with more than one cointegrating relation thus extending the literature in this context which has mostly considered only one cointegrating relationship so far. We then go on to develop an appropriate test for the number of cointegrating relationships in a threshold VECM. Asymptotic distributions of our test statistics are derived and tabulated. Finite sample performance of the proposed testing procedure is investigated.