The effects of small sample bias in Threshold Autoregressive models |
| |
Authors: | Yamin S Ahmad |
| |
Institution: | aDepartment of Economics, University of Wisconsin - Whitewater, 800 W Main St, Whitewater WI 53190, United States |
| |
Abstract: | 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. |
| |
Keywords: | Threshold Autoregressive models Nonlinear models Small sample bias Real exchange rates Simulation |
本文献已被 ScienceDirect 等数据库收录! |