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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)

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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.economicsbulletin.com/2005/volume3/EB-04C30002A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2005)
Issue (Month): 8 ()
Pages: 1-7
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2005:i:8:p:1-7

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Postal: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA
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Related research
Keywords: conditional least squares; Maximum likelihood estimators; simulations; two-stage least squares;

Find related papers by JEL classification:
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

References listed on IDEAS
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  1. 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. [Downloadable!] (restricted)
  2. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004. "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, vol. 20(2), pages 237-253. [Downloadable!] (restricted)
  3. 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.
  4. 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. [Downloadable!] (restricted)
  5. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Estimation and Inference in Models of Cointegration: A Simulation Study," Cowles Foundation Discussion Papers 881, Cowles Foundation, Yale University. [Downloadable!]
  6. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233. [Downloadable!] (restricted)
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This page was last updated on 2009-11-16.

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