Effects of STAR and TAR types nonlinearities on order selection criteria

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Effects of STAR and TAR types nonlinearities on order selection criteria

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Venus Khim-sen Liew (Universiti Putra Malaysia)
Terence Tai- leung Chong (The Chinese University of Hong Kong)

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Abstract

This paper investigates via a simulation study the effects of nonlinearities on several commonly used order selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive order, even in the presence of STAR or TAR nonlinearity. Thus we conclude that these criteria may be safely applied to determine the true order of STAR or TAR process.

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Paper provided by EconWPA in its series Econometrics with number 0307005.

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Date of creation: 23 Jul 2003
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Handle: RePEc:wpa:wuwpem:0307005

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

This paper has been announced in the following NEP Reports:

NEP-ALL-2003-07-29 (All new papers)
NEP-ECM-2003-08-01 (Econometrics)
NEP-ETS-2003-07-29 (Econometric Time Series)
NEP-SEA-2003-07-29 (South East Asia)

References listed on IDEAS
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Henry, Olan T & Olekalns, Nilss & Summers, Peter M, 2001. "Exchange Rate Instability: A Threshold Autoregressive Approach," The Economic Record, The Economic Society of Australia, vol. 77(237), pages 160-66, June. [Downloadable!] (restricted)
Peel, David & Sarno, Lucio & Taylor, Mark P, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers 2658, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-42, November.
Venus Khim-sen Liew & Terence Tai-leung Chong, 2003. "Effects of ARCH Errors on Autoregressive Lag Length Selection Criteria," Departmental Working Papers _152, Chinese University of Hong Kong, Department of Economics.

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