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Model Selection in Threshold Models

George Kapetanios ()

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

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. Extensive Monte Carlo evidence of the small sample performance of a number of criteria is presented.

Keywords: Nonlinearity; Model selection; Information criteria; Threshold models (search for similar items in EconPapers)
JEL-codes: C15 C44 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 1999-01
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