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A cautionary note on outlier robust estimation of threshold models

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Author Info
Paolo Giordani (University of New South Wales, Australia)

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Abstract

Chan and Cheung (1994) propose a GM approach to outlier robust estimation of threshold models. We show that their estimator can be inconsistent and extremely inefficient even when the model is correctly specified and the disturbances are normally distributed, and outline situations in which the problem is likely to be more severe. Copyright © 2006 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.972
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 25 (2006)
Issue (Month): 1 ()
Pages: 37-47
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Handle: RePEc:jof:jforec:v:25:y:2006:i:1:p:37-47

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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This page was last updated on 2008-6-10.

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