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 pro
β¦ LIBER β¦
A Note on an Alternative Outlier Model
β Scribed by R. D. Cook, N. Holschuh and S. Weisberg
- Book ID
- 118258485
- Publisher
- Blackwell Publishing
- Year
- 1982
- Tongue
- English
- Weight
- 720 KB
- Volume
- 44
- Category
- Article
- ISSN
- 0035-9246
- DOI
- 10.2307/2345493
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