The effects of small sample bias in Threshold Autoregressive models
Economics Letters, 2008, vol. 101, issue 1, 6-8
This paper investigates Threshold Autoregressive (TAR) models that contain a limited number of observations in some regimes. Simulations show that within the context of the real exchange rate literature, parameter estimates exhibit significant small sample bias even with long time series data. These distortions create substantial power losses in attempting to identify values of coefficients from data.
Keywords: Threshold; Autoregressive; models; Nonlinear; models; Small; sample; bias; Real; exchange; rates; Simulation (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: The Effects of Small Sample Bias in Threshold Autoregressive Models (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:1:p:6-8
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().