Estimating threshold vector error-correction models with multiple cointegrating relationships

Jamie Gascoigne ()
Additional contact information
Jamie Gascoigne: Department of Economics, The University of Sheffield

No 2004013, Working Papers from The University of Sheffield, Department of Economics

Abstract: Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-variate model. However, in their conclusion they note that future research will have to find a way of estimating larger systems with multiple cointegrating vectors. This paper proposes a new algorithm that can be used to estimate such models. Simulation experiments are used to compare the algorithm´s performance with that of Hansen and Seo, and a practical application to the term structure of UK interest rates is also presented.

Keywords: Nonlinearity; Cointegration; Term Structure. (search for similar items in EconPapers)
JEL-codes: C13 C32 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2004-11, Revised 2004-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.shef.ac.uk/content/1/c6/03/91/71/SERP2004013.pdf First version, 2004 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.shef.ac.uk/content/1/c6/03/91/71/SERP2004013.pdf [301 Moved Permanently]--> https://www.sheffield.ac.uk/content/1/c6/03/91/71/SERP2004013.pdf)
http://www.shef.ac.uk/content/1/c6/03/91/71/SERP2004013.pdf Revised version, 2004 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.shef.ac.uk/content/1/c6/03/91/71/SERP2004013.pdf [301 Moved Permanently]--> https://www.sheffield.ac.uk/content/1/c6/03/91/71/SERP2004013.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:shf:wpaper:2004013

Access Statistics for this paper

More papers in Working Papers from The University of Sheffield, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Mike Crabtree ().