Model Selection in Threshold Models

This paper considers information criteria as model evaluation tools for nonlinear threshold models. Results concerning the consistency of information criteria in selecting the lag order of linear autoregressive models are extended to nonlinear autoregressive threshold models. Extensive Monte Carlo evidence of the small sample performance of a number of criteria is presented.

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Year of publication:	1999-01
Authors:	Kapetanios, G.
Institutions:	Faculty of Economics, University of Cambridge
Subject:	Nonlinearity \| Model selection \| Information criteria \| Threshold models

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Extent:	application/pdf
Series:	Cambridge Working Papers in Economics.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C44 - Statistical Decision Theory; Operations Research ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005647350