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Model Selection in Threshold Models

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Author Info
Kapetanios, G.

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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.

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File URL: http://www.econ.cam.ac.uk/dae/repec/cam/pdf/wp9906.pdf
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Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9906.

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Date of creation: Jan 1999
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Handle: RePEc:cam:camdae:9906

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Related research
Keywords: Nonlinearity; Model selection; Information criteria; Threshold models;

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Statistical Decision Theory; Operations Research
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  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. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  2. Pedro Galeano & Daniel Peña, 2004. "Model Selection Criteria And Quadratic Discrimination In Arma And Setar Time Series Models," Statistics and Econometrics Working Papers ws041406, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  3. Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge. [Downloadable!]
  4. A. J. Khadaroo, 2005. "A threshold in inflation dynamics: evidence from emerging countries," Applied Economics, Taylor and Francis Journals, vol. 37(6), pages 719-723, April. [Downloadable!] (restricted)
  5. van Tol, Michel R & Wolff, Christian C, 2005. "Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration," CEPR Discussion Papers 4958, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  6. Morten O. Ravn & Zacharias Psaradakis & Martin Sola, 2005. "Markov switching causality and the money-output relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 665-683. [Downloadable!]
    Other versions:
  7. Michael Dueker & Martin Sola & Fabio Spagnolo, 2007. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers 5_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy. [Downloadable!]
    Other versions:
  8. Eugene Canjels & Gauri Prakash-Canjels & Alan M. Taylor, 2004. "Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913," NBER Working Papers 10583, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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