Cover Image

Systematic small sample bias in two regime SETAR model estimation

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.
Year of publication:
2008
Authors: Norman, Stephen
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 1, p. 134-138
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005361673
Similar items by person