Theoretical Economics Letters

Volume 4, Issue 6 (June 2014)

ISSN Print: 2162-2078   ISSN Online: 2162-2086

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Note on Fully Modified Estimation for Three-Regime Threshold Cointegration Model

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DOI: 10.4236/tel.2014.46063    5,543 Downloads   6,995 Views  
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ABSTRACT

In this paper we consider a three-regime threshold cointegration model. The fully modified ordinary least squares (FM-OLS) regression of Phillips and Hansen [1] is used to develop new methods for estimating cointegrating coefficients. After we remove the second-order biases of parameter estimates from the three-regime threshold cointegration model, FM-OLS estimates have a limit distribution that is mixed normal for all the nonstationary coefficients.

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Wang, C. (2014) Note on Fully Modified Estimation for Three-Regime Threshold Cointegration Model. Theoretical Economics Letters, 4, 506-512. doi: 10.4236/tel.2014.46063.

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