The effects of small sample bias in threshold autoregressive models

DOI10.1016/J.ECONLET.2008.03.030MaRDI QIDQ1934897zbMATH OpenOpenAlexFDO

Authors Yamin S. Ahmad

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://www.uww.edu/documents/colleges/cobe/economics/wpapers/07_01_Ahmad.pdf

zbMATH Keywords

nonlinear modelsreal exchange ratessimulationsmall sample biasthreshold autoregressive models

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• Threshold Cointegration

Cited in

(5)

• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• Systematic small sample bias in two regime SETAR model estimation
• Outliers and persistence in threshold autoregressive processes
• Nonlinear Time Series Models and Model Selection
• scientific article; zbMATH DE number 1931028 (Why is no real title available?)

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