EconPapers    
Economics at your fingertips  
 

The Effects of Small Sample Bias in Threshold Autoregressive Models

Yamin Ahmad

Working Papers from UW-Whitewater, Department of Economics

Abstract: This paper investigates the properties of a class of models which incorporate nonlinear dynamics, known as Threshold Autoregressive (TAR) models. Simulations show that within the context of the real exchange rate literature, a threshold model of exchange rates exhibits significant small sample bias even with long time series data. The results of this paper has severe implications for the properties of estimated coefficients within TAR models.

Keywords: Threshold Autoregressive Models; Nonlinear Models; Small Sample Bias; Real Exchange Rates; Simulation (search for similar items in EconPapers)
JEL-codes: F47 C15 C32 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2007-05, Revised 2007-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-opm
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Published in Economics Letters, August 2008, Vol 101, pp 6 - 8

Downloads: (external link)
http://www.uww.edu/documents/colleges/cobe/economics/wpapers/07_01_Ahmad.pdf Full text (application/pdf)

Related works:
Journal Article: The effects of small sample bias in Threshold Autoregressive models (2008) Downloads
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:uww:wpaper:07-01

Access Statistics for this paper

More papers in Working Papers from UW-Whitewater, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Yamin Ahmad ().

 
Page updated 2021-06-10
Handle: RePEc:uww:wpaper:07-01