EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(07)00237-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:99:y:2008:i:1:p:134-138

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-09-29
Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:134-138