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In Hansen and Seo's paper on Testing two regime threshold cointegration in VECM (J. Econometrics, 2002; 110:293), the authors proposed a test based on Lagrange Multiplier for testing treshold in model. However, suddenly the model denotes heteroskedasticity. Why the model denote heteroskedasticity?

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Can you give us a link to the paper? There is no way anyone can helpou without seeing the paper. – Michael Chernick Jul 23 '12 at 1:46
This docs.google.com/… – user12789 Jul 24 '12 at 9:55
please help me, my problem in section 3.1, why use heteroskedasticity? – user12789 Jul 24 '12 at 9:56
Thanks I will take a look and will help if I can. But this may not be my area of expertise. – Michael Chernick Jul 24 '12 at 10:31
i still waiting, thanks for help me – user12789 Jul 25 '12 at 6:01
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