Skip to main content
Article thumbnail
Location of Repository

Model Selection in Threshold Models

By George Kapetanios


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:
Provided by: Apollo

Suggested articles

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.