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A cautionary note on outlier robust estimation of threshold models
Author(s) -
Giordani Paolo
Publication year - 2006
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.972
Subject(s) - outlier , estimation , estimator , econometrics , computer science , robust statistics , anomaly detection , artificial intelligence , statistics , economics , mathematics , management
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. Copyright © 2006 John Wiley & Sons, Ltd.