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.
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.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | Complexity-penalized likelihood criteria, nonlinear models, Monte Carlo experiments |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Administrator |
| Date Deposited: | 01 Feb 2011 09:20 |
| Last Modified: | 02 Aug 2023 16:51 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/1962 |
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