We investigate the presence of common cyclical features at different data points separated by a threshold variable. Our two-step procedure consists of first estimating the unknown threshold in a var or a vecm (tsay, 1998 tsay, r. S. 1998. Testing and modeling multivariate threshold models. Journal of the american statistical association, 93: 1188–202. [taylor & francis online], [web of science ®], , [google scholar]). Next, cofeature test-statistics are carried out on the parts.