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Several nonregular problems are resolved. First of all, consistency\u2014square root<jats:italic>n<\/jats:italic>consistency for the cointegrating vector<jats:italic>\u03b2<\/jats:italic>\u2014is 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<jats:italic>n<\/jats:italic><jats:sup>3\/2<\/jats:sup>and<jats:italic>n<\/jats:italic>for<jats:italic>\u03b2<\/jats:italic>and<jats:italic>\u03b3<\/jats:italic>, respectively, where<jats:italic>\u03b3<\/jats:italic>denotes the threshold parameter. This fast rate for<jats:italic>\u03b2<\/jats:italic>in itself is of practical relevance because, unlike in smooth transition models, the estimation error in<jats:italic>\u03b2<\/jats:italic>does not affect the estimation of short-run parameters. We also derive asymptotic distributions for the smoothed least squares estimation of threshold cointegration.<\/jats:p>","DOI":"10.1017\/s026646661000023x","type":"journal-article","created":{"date-parts":[[2010,8,27]],"date-time":"2010-08-27T12:43:01Z","timestamp":1282912981000},"page":"201-234","source":"Crossref","is-referenced-by-count":36,"title":["ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS"],"prefix":"10.1017","volume":"27","author":[{"given":"Myung","family":"Hwan Seo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2010,8,27]]},"reference":[{"key":"S026646661000023X_ref19","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600013189"},{"key":"S026646661000023X_ref14","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9892.00276"},{"key":"S026646661000023X_ref18","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780198773191.001.0001","volume-title":"Modelling Nonlinear Economic 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