Estimating threshold cointegrated systems

Jan G. Gooijer and Antoni Vidiella-I-Anguera

Economics Bulletin, 2005, vol. 3, issue 8, 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 (search for similar items in EconPapers)
Date: 2005-02-21
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Citations: View citations in EconPapers (2)

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