A note on the finite sample properties of the CLS method of TAR models
Vavra, Marian (2012) A note on the finite sample properties of the CLS method of TAR models. Working Paper. Birkbeck College, University of London, London, UK.
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Abstract
In this paper we focus on the finite sample properties of the conditional least squares (CLS) method of threshold autoregressive (TAR) parameters under the following conditions: (a) non-Gaussian model innovations; (b) two types of asymmetry (i.e. deepness and steepness) captured by TAR models. It is clearly demonstrated that the finite sample properties of the CLS method of TAR parameters significantly differ depending on the type of asymmetry. The behavior of steepness-based models is very good compared to that obtained from deepness-based models. Therefore, extreme caution must be excercised to preliminary modelling steps, such as testing the type of asymmetry before estimating TAR models in practice. A mistake in this phase of modelling can, in turn, give rise to very problematic results.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Keyword(s) / Subject(s): | threshold autoregressive model, Monte Carlo method, bias, asymmetry |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 11 Jan 2013 13:09 |
| Last Modified: | 02 Aug 2023 17:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/5953 |
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