  This article discusses cointegration tests for nonlinear cointegration in the
presence of variance breaks in the errors. We build on approaches of Cavaliere
and Taylor (2006, Journal of Time Series Analysis) for heteroskedastic
cointegration tests and of Choi and Saikkonen (2010, Econometric Theory) for
nonlinear cointegration tests. We propose a bootstrap test and prove its
consistency. A Monte Carlo study shows the approach to have appealing finite
sample properties and to work better than an approach using subresiduals. We
provide an empirical application to the environmental Kuznets curves (EKC),
finding that the cointegration tests do not reject the EKC hypothesis in most
cases.
