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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: C15 C32 F47 (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
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Citations: View citations in EconPapers (2) Track citations by RSS feed

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

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