# Model selection for nonlinear time series

*Sebastiano Manzan* ()

*Empirical Economics*, 2004, vol. 29, issue 4, 920 pages

**Abstract:**
We investigate the finite-sample performance of model selection criteria for local linear regression by simulation. Similarly to linear regression, the penalization term depends on the number of parameters of the model. In the context of nonparametric regression, we use a suitable quantity to account for the Equivalent Number of Parameters as previously suggested in the literature. We consider the following criteria: Rice T, FPE, AIC, Corrected AIC and GCV. To make results comparable with other data-driven selection criteria we consider also Leave-Out CV. We show that the properties of the penalization schemes are very different for some linear and nonlinear models. Finally, we set up a goodness-of-fit test for linearity based on bootstrap methods. The test has correct size and very high power against the alternatives investigated. Application of the methods proposed to macroeconomic and financial time series shows that there is evidence of nonlinearity. Copyright Springer-Verlag 2004

**Keywords:** Local linear regression; nonlinear time series; bootstrap; linearity test; C12; C14; C22 (search for similar items in EconPapers)

**Date:** 2004

**References:** Add references at CitEc

**Citations:** View citations in EconPapers (2) Track citations by RSS feed

**Downloads:** (external link)

http://hdl.handle.net/10.1007/s00181-004-0207-7 (text/html)

Access to full text is restricted to subscribers.

**Related works:**

This item may be available elsewhere in EconPapers: Search for items with the same title.

**Export reference:** BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text

**Persistent link:** https://EconPapers.repec.org/RePEc:spr:empeco:v:29:y:2004:i:4:p:901-920

**Ordering information:** This journal article can be ordered from

http://www.springer. ... rics/journal/181/PS2

**DOI:** 10.1007/s00181-004-0207-7

Access Statistics for this article

Empirical Economics is currently edited by *Robert M. Kunst*, *Arthur H.O. van Soest*, *Bertrand Candelon*, *Subal C. Kumbhakar* and *Joakim Westerlund*

More articles in Empirical Economics from Springer

Bibliographic data for series maintained by Sonal Shukla ().