Systematic small sample bias in two regime SETAR model estimation

DOI10.1016/J.ECONLET.2007.06.013zbMath1255.91365OpenAlexW2067922524WikidataQ126238714 ScholiaQ126238714MaRDI QIDQ1934726

Stephen Norman

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.06.013

zbMATH Keywords

Monte Carlo simulationsSETAR models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• Numerical issues in threshold autoregressive modeling of time series
• Small sample properties of the conditional least squares estimator in SETAR models
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• A multiple-threshold AR(1) model
• Testing and Modeling Threshold Autoregressive Processes

This page was built for publication: Systematic small sample bias in two regime SETAR model estimation