Previous studies employing error correction models (ECMs) that include threshold effects in long-run equilibrium relationships (threshold cointegration) as well as in error correction (threshold autoregression; threshold ECMs; non-parametric ECMs;...
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Previous studies employing error correction models (ECMs) that include threshold effects in long-run equilibrium relationships (threshold cointegration) as well as in error correction (threshold autoregression; threshold ECMs; non-parametric ECMs; Markov-switching ECMs; and other forms of ECM with time-varying error correction such as state space models) investigating market integration and efficiency are based on a static concept – given a set of demand and supply conditions on two (or more) markets in space, and trade costs between them, they are either in equilibrium and therefore effici...
