Economics, Econometrics and Finance
4 years ago

Threshold Autoregressive Models Show Significant Small Sample Bias in Real Exchange Rates.

RePEc: Research Papers in Economics
The Effects of Small Sample Bias in Threshold Autoregressive Models
Yamin Ahmad

Paper Summary

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The study looked at a type of model called Threshold Autoregressive (TAR) models that deal with nonlinear dynamics. They found that when studying exchange rates, these models can have a significant bias when using small amounts of data, even if the data covers a long period of time. This means that the results from these models may not accurately reflect the true relationships between variables.