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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    3,459 Downloads   4,590 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.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

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.

References

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