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The author established the strong consistency and the limiting distribution of the conditional least squares estimator (CLSE). In this paper, we can find some important results in the study of nonlinear time series.   The main result is into two theorems. Theorem 1 assumes that the model \\((x_ n)\\) is stationary ergodic, having finite second moments, and that the stationary distribution of \\((x_ 1,\\dots,x_ p)'\\) admits a density positive everywhere. Then the CLSE of the parameter vector \\(\\theta\\) is strongly consistent, and so are the CLSE's of the variances of the noises. Theorem 2, under some regularity assumptions, shows that \\(N(r_ N-r)\\) converges in distribution to \\(M_ -\\), where \\(r_ N\\) is the CLSE of the threshold \\(r\\), and \\([M_ -,M_ +)\\) is the unique random interval over which a compound Poisson process attains its global minimum. Furthermore, the CLSE of the parameter vector \\(\\theta\\) is asymptotically normal.   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