Simulations show that the discrete frequency k can be almost estimated accurately,6 and hence its standard deviation is not computed and reported. For all the parameters, the mean of each parameters come close to their true values, and the accuracy of the model improves as T increases, regardless of the frequency k, which is also consistent with the results in Theorems 1 and 2. Moreover, lower panel of Table 1 show that there is little efficiency loss by allowance for Fourier approximation in the estimation procedure even when there is no time-varying feature in the threshold.7