Article ID Journal Published Year Pages File Type
5062039 Economics Letters 2008 5 Pages PDF
Abstract
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.
Keywords
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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Systematic small sample bias in two regime SETAR model estimation
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