Model Selection Uncertainty and Detection of Threshold Effects
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DOI: 10.2202/1558-3708.1256
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- Jean-Yves Pitarakis, 2004. "Model Selection Uncertainty and Detection of Threshold Effecs," Econometrics 0409013, University Library of Munich, Germany.
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"Information criteria for nonlinear time series models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 325-341, June.
- Rinke, Saskia & Sibbertsen, Philipp, 2015. "Information Criteria for Nonlinear Time Series Models," Hannover Economic Papers (HEP) dp-548, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Paulo Rodrigues & Nazarii Salish, 2015. "Modeling and forecasting interval time series with threshold models," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(1), pages 41-57, March.
- McAleer, Michael & Medeiros, Marcelo C., 2008.
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- Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
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- Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.
- Rinke, Saskia, 2016. "The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity," Hannover Economic Papers (HEP) dp-575, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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