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Systematic small sample bias in two regime SETAR model estimation

Stephen Norman

Economics Letters, 2008, vol. 99, issue 1, 134-138

Abstract: This note investigates the small sample properties of threshold parameter estimation in the two regime self-exciting threshold autoregressive model. Systematic small sample biases are identified which occur when the distribution of observations between regimes is uneven.

Date: 2008
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:134-138