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
Outliers and financial time series modelling: A cautionary note
β Scribed by Wai-sum Chan
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 308 KB
- Volume
- 39
- Category
- Article
- ISSN
- 0378-4754
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