Model Selection in Threshold Models

George Kapetanios

Journal of Time Series Analysis, 2001, vol. 22, issue 6, 733-754

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.

Date: 2001
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https://doi.org/10.1111/1467-9892.00251

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Working Paper: Model Selection in Threshold Models (1999)
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