Jan G. De Gooijer, Antoni Vidiella-i-Anguera
Abstract
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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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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.
Key concepts: Cointegration, Bivariate analysis, CLs upper limits, Econometrics, Economics, Mathematics, Statistics, Medicine