paper1: Bootstrap testing for the null of no cointegration in a threshold vector error correction model
      Myunghwan Seo,  Journal of Econometrics 134 (2006) 129–150

paper2: Unit root tests in three-regime SETAR models
      GEORGE KAPETANIOS∗ AND YONGCHEOL SHIN,  Econometrics Journal (2006), volume 9, pp. 252–278.

paper3: Testing for two-regime threshold cointegration in vector error-correction models
      Bruce E. Hansen, Byeongseon Seo,  Journal of Econometrics 110 (2002) 293 – 318

paper4: Threshold cointegration
     Nathan S.Balke and Thomas A. Fomby, International economic review  vol.38,No.3 ,August 1997

这四篇文章可以说是做Tar-co 的必读之作！