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dc.contributor.authorKapetanios, Georgeen_GB
dc.date.accessioned2004-06-16T16:05:50Z
dc.date.available2004-06-16T16:05:50Z
dc.date.created1999-01en_GB
dc.date.issued2004-06-16T16:05:50Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/417
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/417
dc.description.abstractThis 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.en_GB
dc.format.extent1535515 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subject.classificationClassification-JEL: C15, C44, C52en_GB
dc.subject.otherNonlinearity, Model selection, Information criteria, Threshold modelsen_GB
dc.titleModel Selection in Threshold Modelsen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5184


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