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A cautionary note on outlier robust estimation of threshold models

โœ Scribed by Paolo Giordani

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
213 KB
Volume
25
Category
Article
ISSN
0277-6693

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โœฆ Synopsis

Chan and Cheung (1994)

propose a GM approach to outlier robust estimation of threshold models. We show that their estimator can be inconsistent and extremely inefficient even when the model is correctly specified and the disturbances are normally distributed, and outline situations in which the problem is likely to be more severe.

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