Model Selection in Threshold Models
Copyright policy )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. Monte Carlo evidence of the small sample performance of a number of criteria is presented.JEL. C15, C44, C52.
- University of Cambridge United Kingdom
- National Institute of Economic and Social Research United Kingdom
self-exciting threshold autoregressive time series, Statistical aspects of information-theoretic topics, Classification-JEL: C15, C44, C52, Time series, auto-correlation, regression, etc. in statistics (GARCH), Nonlinearity, Model selection, Information criteria, Threshold models, generalized information criterion, information complexity criterion, Nonparametric estimation, Markov switching models, jel: jel:C52, jel: jel:C44, jel: jel:C15
self-exciting threshold autoregressive time series, Statistical aspects of information-theoretic topics, Classification-JEL: C15, C44, C52, Time series, auto-correlation, regression, etc. in statistics (GARCH), Nonlinearity, Model selection, Information criteria, Threshold models, generalized information criterion, information complexity criterion, Nonparametric estimation, Markov switching models, jel: jel:C52, jel: jel:C44, jel: jel:C15
citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).51 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Top 10%
Citations provided by BIP!Popularity provided by BIP!