Goetz, Linde; von Cramon-Taubadel, Stephan - European Association of Agricultural Economists - EAAE - 2008
We propose a three-step procedure to estimate a regime-dependent vector error correction model (VECM). In this model, not only the short-run adjustment process towards equilibrium is non-linear, as in threshold VECM and Markov switching VECM frameworks, but the long-run equilibrium relationship...