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Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System [PDF]

, 2009
The paper generalises estimation and inference procedures for a threshold VECM with more than one cointegrating relation. We derive estimators of long-run parameters and loading factors by means of a reduced rank regression. We provide their asymptotic distributions and propose a testing procedure for the cointegrating rank.
Jaya Krishnakumar, David Neto
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