Estimating threshold cointegrated systems

Jan G. De Gooijer () and Antoni Vidiella-I-Anguera ()

Economics Bulletin, 2005, vol. 3, issue 8, pages 1-7

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.

Keywords: conditional least squares; Maximum likelihood estimators; simulations; two-stage least squares (search for similar items in EconPapers)
JEL-codes: C3 (search for similar items in EconPapers)
Date: 2005 Written 2005-02-21
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