Effects of STAR and TAR types nonlinearities on order selection criteria

This paper investigates via a simulation study the effects of nonlinearities on several commonly used order selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive order, even in the presence of STAR...

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Bibliographic Details
Main Authors: Venus, Khim-Sen Liew, Terence, Tai-leung Chong
Format: Article
Language:English
Published: University Library of Munich, Germany 2003
Subjects:
Online Access:http://ir.unimas.my/id/eprint/29609/3/1.pdf
http://ir.unimas.my/id/eprint/29609/
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