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

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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.
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. 
 

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[4] Hansen, B. and Seo, B. (2002) Testing for Two-Regime Threshold Cointegration in Vector Error Correction Models. Journal of Econometrics, 110, 293-318. http://dx.doi.org/10.1016/S0304-4076(02)00097-0
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