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Your interpretation about the adjustment parameters are correct. However, you cannot comment on their significance unless you simulate for critical values. F-equal is the test statistic of null hypothesis of Above=Below, whereas F-joint is the test statistic of Above=Below=0. And T-max is used to t...

That requires a breakpoint not a threshold analysis, though. You can try Gregory-Hansen Cointegration Test . Trubador, Thank you once again for pointing me in the right direction! My last few questions are as follows: 1) If I am interested in testing for a regime shift in the cointegration relation...

I would assume a stable/known long run equilibrium as it makes more sense to me than a time varying cointegrating relationship. Of course, adjustment towards this equilibrium (i.e. error correction) may not be fixed over time. As a reference, I would cite Balke and Fomby (1997) and Enders and Siklo...

Hi all, I have estimated a cointegrating relationship between two crude oil benchmarks (Brent and WTI) using a VECM model. I am now trying to use threshold estimation to see if the cointegrating relationship changes over time. Although I understand the theory behind threshold regressions, I am unsur...