Estimating threshold cointegrated systems

Using simulations, the paper shows that there is a trade-off in using CLS and 2SLS on the one hand and ML on the other when estimating the parameters of a bivariate threshold vector equilibrium correction model with regime-specific cointegration vectors.

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Year of publication:	2005
Authors:	Gooijer, Jan G. De ; Vidiella-i-Anguera, Antoni
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2005, 8, p. 1-7
Publisher:	AccessEcon
Subject:	conditional least squares

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005094629