A cautionary note on outlier robust estimation of threshold models

Paolo Giordani ()

Journal of Forecasting, 2006, vol. 25, issue 1, 37-47

Abstract: Chan and Cheung (1994) propose a GM approach to outlier robust estimation of threshold models. We show that their estimator can be inconsistent and extremely inefficient even when the model is correctly specified and the disturbances are normally distributed, and outline situations in which the problem is likely to be more severe. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2006
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:25:y:2006:i:1:p:37-47

DOI: 10.1002/for.972

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