Psaradakis, Zacharias and Sola, Martin and Spagnolo, F. and Spagnolo, N. (2009) Selecting nonlinear time series models using information criteria. Journal of Time Series Analysis 30 (4), pp. 369-394. ISSN 0143-9782.Full text not available from this repository.
This article considers the problem of selecting among competing nonlinear time series models by using complexity-penalized likelihood criteria. An extensive simulation study is undertaken to assess the small-sample performance of several popular criteria in selecting among nonlinear autoregressive models belonging to some families that have been popular with practitioners.
|Keyword(s) / Subject(s):||Complexity-penalized likelihood criteria, nonlinear models, Monte Carlo experiments|
|School or Research Centre:||Birkbeck Schools and Research Centres > School of Business, Economics & Informatics > Economics, Mathematics and Statistics|
|Date Deposited:||01 Feb 2011 09:20|
|Last Modified:||11 Oct 2016 15:27|
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