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| Jan G. De Gooijer and Antoni Vidiella-i-Anguera |
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| ''Estimating threshold cointegrated systems'' |
| ( 2005, Vol. 3 No.8 ) |
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| Using simulations, the paper shows that there is a trade-off in using CLS and 2SLS on the one hand and ML on the other when estimating the parameters of a bivariate threshold vector equilibrium correction model with regime-specific cointegration vectors. |
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| Keywords: conditional least squares |
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| Manuscript Received : Nov 25 2004 | | Manuscript Accepted : Feb 21 2005 |
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