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Small sample properties of the conditional least squares estimator in SETAR models

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  • Kapetanios, George
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    File URL: http://www.sciencedirect.com/science/article/B6V84-41FKXMB-4/2/329bf023444b27bb392d20daea5e8cc5
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 69 (2000)
    Issue (Month): 3 (December)
    Pages: 267-276

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    Handle: RePEc:eee:ecolet:v:69:y:2000:i:3:p:267-276

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

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    1. Pesaran, M. Hashem & Potter, Simon M., 1997. "A floor and ceiling model of US output," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 661-695, May.
    2. Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.
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    Cited by:
    1. George Kapetanios & Elias Tzavalis, 2004. "The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks," Working Papers 524, Queen Mary, University of London, School of Economics and Finance.
    2. Marian Vavra, 2012. "A Note on the Finite Sample Properties of the CLS Method of TAR Models," Birkbeck Working Papers in Economics and Finance 1206, Birkbeck, Department of Economics, Mathematics & Statistics.
    3. Massacci, Daniele, 2013. "A variable addition test for exogeneity in structural threshold models," Economics Letters, Elsevier, vol. 120(1), pages 5-9.
    4. George Kapetanios & Elias Tzavalis, 2005. "Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset," Working Papers 537, Queen Mary, University of London, School of Economics and Finance.
    5. Ana Beatriz Galvao & Massimiliano Marcellino, 2010. "Endogenous Monetary Policy Regimes and the Great Moderation," Economics Working Papers ECO2010/22, European University Institute.
    6. George Kapetanios, 2004. "Testing for Exogeneity in Nonlinear Threshold Models," Working Papers 515, Queen Mary, University of London, School of Economics and Finance.
    7. George Kapetanios, 2003. "Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models," Working Papers 494, Queen Mary, University of London, School of Economics and Finance.
    8. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.
    9. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
    10. George Kapetanios & Elias Tzavalis, 2006. "Stochastic Volatility Driven by Large Shocks," Working Papers 568, Queen Mary, University of London, School of Economics and Finance.
    11. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, vol. 147(1), pages 60-71, November.
    12. Zhang, Li-Xin & Chan, Wai-Sum & Cheung, Siu-Hung & Hung, King-Chi, 2009. "A note on the consistency of a robust estimator for threshold autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 807-813, March.

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