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The effects of small sample bias in Threshold Autoregressive models

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Author Info
Ahmad, Yamin S.

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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.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4S6P1WM-3/2/f49219a53397b5c96b9b606cc8cbdfba
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 101 (2008)
Issue (Month): 1 (October)
Pages: 6-8
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Handle: RePEc:eee:ecolet:v:101:y:2008:i:1:p:6-8

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Web page: http://www.elsevier.com/locate/ecolet

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Related research
Keywords: Threshold Autoregressive models Nonlinear models Small sample bias Real exchange rates Simulation;

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