Greb, Friederike; Cramon-Taubadel, Stephan von; … - In: American Journal of Agricultural Economics 95 (2013) 4, pp. 900-916
The threshold vector error correction model is a popular tool for the analysis of spatial price transmission. In the literature, the profile likelihood estimator is the preferred choice for estimating this model. Yet, in many settings this estimator performs poorly. In particular, if the true...