Potential problems in estimating bilinear time-series models
Article Abstract:
The demand to expand linear time-series methods to incorporate non-Gaussianity, non-linearity and heterogeneity has resulted in the growing use of the bilinear model, which van capture with a good degree of accuracy any well-behaved nonlinear behavior. However, it was shown that the bilinear model has some undesirable statistical characetristics. These include the bimodality of the expected likelihood function in certain regions of the parameter space. In finite samples, moreover, the distributional properties of the parameter estimates and the standard t-statistic exhibit undesirable statistical properties.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1995
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Wheat from chaff: meta-analysis as quantitative literature review
Article Abstract:
Research is presented describing the study of economic literature and the use of statistical methods as an analytical tool in assessing the results of investigative documentation.
Publication Name: Journal of Economic Perspectives
Subject: Economics
ISSN: 0895-3309
Year: 2001
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