Consider the Engle and Granger (198

Consider the Engle and Granger (1987) cointegration relationship that defines dynamic long run equilibrium relationship between the price in a given local market (p1) and the price in the central market (p2):

Where, is a random error term with constant variance that can be contemporaneously correlated. With subject to presence of transaction costs asymmetric price transmission is overcoming specifically in the developing countries and so, the usual cointegration method would be missing specified under this condition. Balke and Fomby (1997) note that in the concept of cointegration there is the implicit assumption that the adjustment of the deviations towards the long-run equilibrium is made instantaneously at each period. They introduced the concept of threshold cointegration, which allows taking into consideration the two main criticisms (though Balke and Fomby were concerned only with the first one) rose against linear cointegration.

Results (Indonesian) 2:

Pertimbangkan Engle dan Granger (1987) hubungan kointegrasi yang mendefinisikan hubungan ekuilibrium jangka panjang yang dinamis antara harga di pasar lokal diberikan (p1) dan harga di pasar sentral (p2): Dimana, adalah istilah kesalahan acak dengan varians konstan yang dapat memiliki korelasi. Dengan tunduk pada kehadiran biaya transaksi transmisi harga tidak simetris adalah mengatasi khususnya di negara-negara berkembang dan begitu, metode kointegrasi biasa akan hilang ditentukan di bawah kondisi ini. Balke dan Fomby (1997) mencatat bahwa dalam konsep kointegrasi ada asumsi implisit bahwa penyesuaian penyimpangan terhadap jangka panjang ekuilibrium dibuat instan pada setiap periode. Mereka memperkenalkan konsep ambang kointegrasi, yang memungkinkan dengan mempertimbangkan dua kritik utama (meskipun Balke dan Fomby khawatir hanya dengan yang pertama) naik terhadap kointegrasi linear.