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The Effects of Small Sample Bias in Threshold Autoregressive Models

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Author Info
Yamin Ahmad () (Department of Economics, University of Wisconsin - Whitewater)

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Abstract

This paper investigates the properties of a class of models which incorporate nonlinear dynamics, known as Threshold Autoregressive (TAR) models. Simulations show that within the context of the real exchange rate literature, a threshold model of exchange rates exhibits significant small sample bias even with long time series data. The results of this paper has severe implications for the properties of estimated coefficients within TAR models.

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File URL: http://academics.uww.edu/business/economics/wpapers/07_01_Ahmad.pdf
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Publisher Info
Paper provided by UW-Whitewater, Department of Economics in its series Working Papers with number 07-01.

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Length: 15 pages
Date of creation: May 2007
Date of revision: Jun 2007
Handle: RePEc:uww:wpaper:07-01

Contact details of provider:
Postal: Whitewater, WI 53190-1750
Phone: (414) 472-1361
Web page: http://academics.uww.edu/business/economics/
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Related research
Keywords: Threshold Autoregressive Models; Nonlinear Models; Small Sample Bias; Real Exchange Rates; Simulation;

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Find related papers by JEL classification:
F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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This page was last updated on 2009-11-10.

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