A Note on the Finite Sample Properties of the CLS Method of TAR Models
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More about this item
Keywordsthreshold autoregressive model; Monte Carlo method; bias; asymmetry;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-03 (All new papers)
- NEP-ECM-2012-04-03 (Econometrics)
- NEP-ETS-2012-04-03 (Econometric Time Series)
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