In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...

Threats of mass revolts could effectively constrain a dictator's public policy if it were not for the collective-action problem. Mass revolts nevertheless happen, but they follow a stochastic pattern. We describe this pattern in a threshold model of collective action and integrate it into an...

We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the threshold parameter. Our Lasso estimator not only selects covariates but also selects a model between linear and...

This article follows the main contributions brought to the nonlinear modeling literature. We investigate and review a series of parametric initiatives, focusing on the evolution of TAR and ARCH – GARCH model families in econometric and forecasting applications.

This article follows the main contributions brought to the nonlinear modeling literature. We investigate and review a series of parametric initiatives, focusing on the evolution of TAR and ARCH – GARCH model families in econometric and forecasting applications.

This paper addresses an important and challenging issue as how best to model nonlinear asymmetric dynamics and cross-sectional heterogeneity, simultaneously, in the dynamic threshold panel data framework, in which both threshold variable and regressors are allowed to be endogenous. Depending on...