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Model Selection in Threshold Models

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  • 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. Monte Carlo evidence of the small sample performance of a number of criteria is presented. JEL. C15, C44, C52.

Suggested Citation

  • George Kapetanios, 2001. "Model Selection in Threshold Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(6), pages 733-754, November.
    • Handle: RePEc:bla:jtsera:v:22:y:2001:i:6:p:733-754
    DOI: 10.1111/1467-9892.00251
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    References listed on IDEAS

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    1. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
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    More about this item

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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