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Systematic small sample bias in two regime SETAR model estimation

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  • Norman, Stephen

Abstract

This note investigates the small sample properties of threshold parameter estimation in the two regime self-exciting threshold autoregressive model. Systematic small sample biases are identified which occur when the distribution of observations between regimes is uneven.

Suggested Citation

  • Norman, Stephen, 2008. "Systematic small sample bias in two regime SETAR model estimation," Economics Letters, Elsevier, vol. 99(1), pages 134-138, April.
    • Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:134-138
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    References listed on IDEAS

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    1. Coakley, Jerry & Fuertes, Ana-Maria & Perez, Maria-Teresa, 2003. "Numerical issues in threshold autoregressive modeling of time series," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2219-2242, September.
    2. Kapetanios, George, 2000. "Small sample properties of the conditional least squares estimator in SETAR models," Economics Letters, Elsevier, vol. 69(3), pages 267-276, December.
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    Cited by:

    1. Stephen Norman, 2016. "Attractor misspecification and threshold estimation bias," Economics Bulletin, AccessEcon, vol. 36(4), pages 1911-1921.
    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. Karl-Heinz Schild & Karsten Schweikert, 2019. "On the Validity of Tests for Asymmetry in Residual-Based Threshold Cointegration Models," Econometrics, MDPI, vol. 7(1), pages 1-13, March.
    4. Ahmad Jameel Khadaroo, 2016. "Current Account Deficit in Mauritius: Risks and Prospects," South African Journal of Economics, Economic Society of South Africa, vol. 84(1), pages 109-128, March.

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