Again consider the monthly 1-year and 10-year Treasury constant maturity rates from April 1953 to October 2000.
Are the two interest rate series threshold-cointegrated?
Use the interest spread st = r10,t - r1,t as the threshold variable, where rit is the i-year Treasury constant maturity rate.
If they are threshold-cointegrated, build a multivariate threshold model for the two series.