Effects of STAR and TAR types nonlinearities on order selection criteria

Venus Khim-Sen Liew () and Terence Tai Leung Chong ()

Econometrics from EconWPA

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.

Keywords: STAR process; TAR process; AR process; nonlinearities; order selection criteria (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-sea
Date: 2003-07-23
Note: Type of Document - Word
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0307005

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