Add to ORKGUsing 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
Johansen's reduced-rank maximum likelihood (ML) estimator for cointegration parameters in vector err...
In this paper we consider a three-regime threshold cointegration model. The fully modified ordi-nary...
Estimation methods of bivariate fractional cointegration models are numerous. In most cases they hav...
The cointegration literature suggests that forecast errors may be reduced by incorporating the knowl...
Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-v...
Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-v...
In this paper we introduce threshold type nonlinearities within a single equation cointegrat-ing reg...
Traditional linear cointegration models have been widely used to examine longrun relationships betwe...
Purpose of this paper is twofold. It is first to offer a rough overview on the field of threshold co...
In this paper we introduce threshold type nonlinearities within a single equation cointegrating regr...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
In this paper, we introduce threshold-type nonlinearities within a single-equation cointegrating reg...
In this paper we introduce threshold type nonlinearities within a single equation cointe-grating reg...
We compare two regime-dependent econometric models for price transmission analysis, namely the thres...
This paper compares several methods (ordinary least squares, nonlinear least squares, maximum likeli...
Johansen's reduced-rank maximum likelihood (ML) estimator for cointegration parameters in vector err...
In this paper we consider a three-regime threshold cointegration model. The fully modified ordi-nary...
Estimation methods of bivariate fractional cointegration models are numerous. In most cases they hav...
The cointegration literature suggests that forecast errors may be reduced by incorporating the knowl...
Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-v...
Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-v...
In this paper we introduce threshold type nonlinearities within a single equation cointegrat-ing reg...
Traditional linear cointegration models have been widely used to examine longrun relationships betwe...
Purpose of this paper is twofold. It is first to offer a rough overview on the field of threshold co...
In this paper we introduce threshold type nonlinearities within a single equation cointegrating regr...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
In this paper, we introduce threshold-type nonlinearities within a single-equation cointegrating reg...
In this paper we introduce threshold type nonlinearities within a single equation cointe-grating reg...
We compare two regime-dependent econometric models for price transmission analysis, namely the thres...
This paper compares several methods (ordinary least squares, nonlinear least squares, maximum likeli...
Johansen's reduced-rank maximum likelihood (ML) estimator for cointegration parameters in vector err...
In this paper we consider a three-regime threshold cointegration model. The fully modified ordi-nary...
Estimation methods of bivariate fractional cointegration models are numerous. In most cases they hav...