Seo, Myung Hwan (2011) Estimation of nonlinear error correction models. Econometric Theory, 27 (02). pp. 201-234. ISSN 0266-4666
Full text not available from this repository.Abstract
Asymptotic theory for the estimation of nonlinear vector error correction models that exhibit regime-specific short-run dynamics is developed. In particular, regimes are determined by the error correction term, and the transition between regimes is allowed to be discontinuous, as in, e.g., threshold cointegration. Several nonregular problems are resolved. First of all, consistency—square root n consistency for the cointegrating vector β—is established for the least squares estimation of this general class of models. Second, the convergence rates are obtained for the least squares of threshold cointegration, which are n3/2 and n for β and γ, respectively, where γ denotes the threshold parameter. This fast rate for β in itself is of practical relevance because, unlike in smooth transition models, the estimation error in β does not affect the estimation of short-run parameters. We also derive asymptotic distributions for the smoothed least squares estimation of threshold cointegration.
| Item Type: | Article |
|---|---|
| Official URL: | http://journals.cambridge.org/action/displayJourna... |
| Additional Information: | © 2010 Cambridge University Press |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 05 Apr 2011 14:02 |
| Last Modified: | 11 Dec 2024 23:53 |
| URI: | http://eprints.lse.ac.uk/id/eprint/33874 |
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