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

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http://www.scirp.org/journal/PaperInformation.aspx?PaperID=47480#.VFm6eGfHRK0

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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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[2] Balke, N. and Fomby, T. (1997) Threshold Cointegration. International Economic Review, 38, 627-645. http://dx.doi.org/10.2307/2527284
[3] Choi, I. and Saikkonen, P. (2004) Testing Linearity in Cointegrating Smooth Transition Regressions. The Econometrics Journal, 7, 341-365. http://dx.doi.org/10.1111/j.1368-423X.2004.00134.x
[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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[6] Gonzalo, J. and Pitarakis, J.-Y. (2006) Threshold Effects in Multivariate Error Correction Models. In: Mills, T. and Patterson, K., Eds., Palgrave Handbook of Econometrics: Econometric Theory Volume 1, Palgrave MacMillan, New York, 578-609.
[7] Gonzalo, J. and Pitarakis, J.-Y. (2006) Threshold Effects in Cointegration Relationships. Oxford Bulletin of Economics and Statistics, 68, 813-833. http://dx.doi.org/10.1111/j.1468-0084.2006.00458.x
[8] Kilic, R. (2011) Testing for Co-Integration and Nonlinear Adjustment in a Smooth Transition Error Correction Model. Journal of Time Series Analysis, 32, 647-660. http://dx.doi.org/10.1111/j.1467-9892.2011.00722.x
[9] Li, J. and Lee, J. (2010) ADL Tests for Threshold Cointegration. Journal of Time Series Analysis, 31, 241-254.
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[14] Phillips, P. (1995) Fully Modified Least Squares and Vector Autoregression. Econometrica, 63, 1023-1078. http://dx.doi.org/10.2307/2171721
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