Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=47480#.VFm6eGfHRK0 Author(s) Chien-Ho Wang Affiliation(s) Department of Economics, National Taipei University, New Taipei City, Taiwan . 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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