Now showing items 3-6 of 6

    • Model Selection in Threshold Models 

      Kapetanios, George (2004-06-16)
      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 ...
    • Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests 

      Kapetanios, George; Weeks, Melvyn (2004-06-16)
      We consider an alternative use of simulation in the context of using the Likelihood-Ratio statistic to test non-nested models. To date simulation has been used to estimate the Kullback-Leibler measure of closeness between ...
    • Panels with Nonstationary Multifactor Error Structures 

      Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi (Faculty of Economics, University of Cambridge, UK, 2006-08)
      The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recent work by Pesaran (2006) suggests a method which makes use of cross-sectional averages to provide valid ...
    • Threshold Models for Trended Time Series 

      Kapetanios, George (2004-06-16)
      This paper presents the theoretical development of new threshold autoregressive models based on trended time series. The theoretical arguments underlying the models are outlined and a nonlinear economic model is used to ...