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The effects of small sample bias in Threshold Autoregressive models

This paper investigates Threshold Autoregressive (TAR) models that contain a limited number of observations in some regimes. Simulations show that within the context of the real exchange rate literature, parameter estimates exhibit significant small sample bias even with long time series data. These distortions create substantial power losses in attempting to identify values of coefficients from data.
Year of publication:
2008
Authors: Ahmad, Yamin S.
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 1, p. 6-8
Publisher: Elsevier
Keywords: Threshold Autoregressive models Nonlinear models Small sample bias Real exchange rates Simulation
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10005355994
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