ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS
研究了非线性向量误差修正模型的渐近理论，允许误差修正项决定区制且区制间转换不连续，证明了最小二乘估计的一致性及收敛速度，并推导了阈值协整的渐近分布。
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 n 3/2 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.