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Estimating threshold cointegrated systems

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Author Info

  • Jan G. De Gooijer

    ()
    (University of Amsterdam)

  • Antoni Vidiella-i-Anguera

    ()
    (Universitat de Barcelona)

Abstract

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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File URL: http://www.accessecon.com/pubs/EB/2005/Volume3/EB-04C30002A.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2005)
Issue (Month): 8 ()
Pages: 1-7

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Handle: RePEc:ebl:ecbull:eb-04c30002

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Related research

Keywords: conditional least squares;

References

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  1. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
  2. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
  3. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
  4. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004. "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, vol. 20(2), pages 237-253.
  5. Clements, Michael P. & Galvao, Ana Beatriz, 2004. "A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure," International Journal of Forecasting, Elsevier, vol. 20(2), pages 219-236.
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