Threshold cointegration is a concept in economics that shows how some variables can have a stable long-term relationship, even if they move around a lot in the short term. This idea suggests that when these variables deviate from their long-term relationship, they will eventually correct back to it, but only after crossing a certain threshold. This threshold can account for things like transaction costs or sticky prices. The model also allows for differences in how positive and negative deviations are corrected. The "tsDyn" package in R can be used to estimate and understand these threshold cointegration models.