In this thesis we generalize the Hansen and Seo test in the R package tsDyn, which tests a linear cointegration model against a two-regime threshold cointegration model, to the case of three regimes in the alternative hypothesis. As the Lagrange Multiplier test statistic used in the Hansen and Seo test in tsDyn is different from the LM statistic described in Hansen and Seo (2002), we generalize ...