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Econometric Theory, 22, 2006, 279–303+ Printed in the United States of America+
DOI: 10+10170S0266466606060129

TESTING FOR COINTEGRATION IN
NONLINEAR SMOOTH TRANSITION
ERROR CORRECTION MODELS

GEORGE KAPETANIOS
Queen Mary, University of London
YONGCHEOL SHIN
Leeds University Business School
ANDY SNELL
Edinburgh School of Economics, University of Edinburgh

1. INTRODUCTION
The joint investigation of nonstationarity and nonlinearity in economics has
recently assumed great significance+ There has also been increasing concern
that the information revealed by the analysis of a linear time series model may
be insufficient to give definitive inference on important economic hypotheses.

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