We develop an evolutionary algorithm to estimate Threshold Vector Error Correction models (TVECM) with more than two cointegrated variables. Since disregarding a threshold in cointegration models renders standard approaches to the estimation of the cointegration vectors inefficient, TVECM...

Mit Beiträgen von: Dieter Bender, Tobias Bidlingmaier; Carsten Eckel, Makram El-Shagi; Michael Frenkel, Hans-Rimbert Hemmer, Andreas Irmen; Ulf von Kalckreuth, Ralf Krüger, Helga Luckenbach; Ronald McKinnon; Edmund S. Phelps; Stefan Reitz, Gerhard Rübel; Karlhans Sauernheimer; Jennifer Seith;...

This paper analyzes the role of common data problems when identifying structural breaks in small samples. Most notably, we survey small sample properties of the most commonly applied endogenous break tests developed by Brown, Durbin, and Evans (1975) and Zeileis (2004), Nyblom (1989) and Hansen...