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.
Official URL: http://dx.doi.org/10.1111/j.1467-9892.2009.00614.x
Abstract
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.
| Item Type: | Article |
|---|---|
| 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 |
| Depositing User: | Administrator |
| Date Deposited: | 01 Feb 2011 09:20 |
| Last Modified: | 25 Apr 2013 13:36 |
| URI: | http://eprints.bbk.ac.uk/id/eprint/1962 |
Archive Staff Only (login required)
 |
Edit/View Item |
