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Model Selection in Threshold Models


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Working Paper

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Authors

Kapetanios, George 

Abstract

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 extended to nonlinear autoregressive threshold models. Extensive Monte Carlo evidence of the small sample performance of a number of criteria is presented.

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Publisher

Faculty of Economics

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