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Model Selection in Threshold Models

By George Kapetanios

Abstract

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

Topics: Classification-JEL: C15, C44, C52, Nonlinearity, Model selection, Information criteria, Threshold models
Publisher: Faculty of Economics
Year: 2004
OAI identifier: oai:www.repository.cam.ac.uk:1810/417
Provided by: Apollo

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