Model Selection in Threshold Models
Article first published online: 13 MAR 2002
Blackwell Publishers Ltd 2001
Journal of Time Series Analysis
Volume 22, Issue 6, pages 733–754, November 2001
How to Cite
Kapetanios, G. (2001), Model Selection in Threshold Models. Journal of Time Series Analysis, 22: 733–754. doi: 10.1111/1467-9892.00251
- Issue published online: 13 MAR 2002
- Article first published online: 13 MAR 2002
- Cited By
- model selection;
- information criteria;
- 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.