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The estimation of threshold models in price transmission analysis

Greb, Friederike; Cramon-Taubadel, Stephan von; … - 2012 - November 2011, updated October 2012

The threshold vector error correction model is a popular tool for the analysis of spatial price transmission and market integration. In the literature, the profile likelihood estimator is the preferred choice for estimating this model. Yet, in certain settings this estimator performs poorly. In...

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