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The effects of small sample bias in Threshold Autoregressive models

Yamin Ahmad

Economics Letters, 2008, vol. 101, issue 1, 6-8

Abstract: 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)
Date: 2008
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Working Paper: The Effects of Small Sample Bias in Threshold Autoregressive Models (2007) Downloads
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