Note on Fully Modified Estimation for Three-Regime Threshold Cointegration Model ()
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.
Share and Cite:
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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