The Effects of Small Sample Bias in Threshold Autoregressive Models

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.

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Year of publication:	2007-05
Authors:	Ahmad, Yamin
Institutions:	Economics Department, University of Wisconsin-Whitewater
Subject:	Threshold Autoregressive Models \| Nonlinear Models \| Small Sample Bias \| Real Exchange Rates \| Simulation

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	published in Economics Letters, August 2008, Vol 101, pp 6 - 8 15 pages
Classification:	F47 - Forecasting and Simulation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005187232