Effects of STAR and TAR types nonlinearities on order selection criteria

This paper investigates via a simulation study the effects of nonlinearities on several commonly used order selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive order, even in the presence of STAR or TAR nonlinearity. Thus we conclude that these criteria may be safely applied to determine the true order of STAR or TAR process.

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Year of publication:	2003-07-23
Authors:	Liew, Venus Khim-sen ; Chong, Terence Tai- leung
Institutions:	EconWPA
Subject:	STAR process \| TAR process \| AR process \| nonlinearities \| order selection criteria

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Extent:	application/pdf application/postscript application/msword
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - Word
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005062576