Cover Image

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Venus, Khim-Sen Liew, Terence, Tai-leung Chong
Format: Article
Language:English
Published: University Library of Munich, Germany 2003
Subjects:
HB Economic Theory
Online Access:http://ir.unimas.my/id/eprint/29609/3/1.pdf
http://ir.unimas.my/id/eprint/29609/
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.unimas.ir.29609
record_format eprints
spelling my.unimas.ir.296092021-06-24T08:15:12Z http://ir.unimas.my/id/eprint/29609/ Effects of STAR and TAR types nonlinearities on order selection criteria Venus, Khim-Sen Liew Terence, Tai-leung Chong HB Economic Theory 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 or TAR nonlinearity. Thus we conclude that these criteria may be safely applied to determine the true order of STAR or TAR process. University Library of Munich, Germany 2003 Article NonPeerReviewed text en http://ir.unimas.my/id/eprint/29609/3/1.pdf Venus, Khim-Sen Liew and Terence, Tai-leung Chong (2003) Effects of STAR and TAR types nonlinearities on order selection criteria.
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Venus, Khim-Sen Liew
Terence, Tai-leung Chong
Effects of STAR and TAR types nonlinearities on order selection criteria
description 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 or TAR nonlinearity. Thus we conclude that these criteria may be safely applied to determine the true order of STAR or TAR process.
format Article
author Venus, Khim-Sen Liew
Terence, Tai-leung Chong
author_facet Venus, Khim-Sen Liew
Terence, Tai-leung Chong
author_sort Venus, Khim-Sen Liew
title Effects of STAR and TAR types nonlinearities on order selection criteria
title_short Effects of STAR and TAR types nonlinearities on order selection criteria
title_full Effects of STAR and TAR types nonlinearities on order selection criteria
title_fullStr Effects of STAR and TAR types nonlinearities on order selection criteria
title_full_unstemmed Effects of STAR and TAR types nonlinearities on order selection criteria
title_sort effects of star and tar types nonlinearities on order selection criteria
publisher University Library of Munich, Germany
publishDate 2003
url http://ir.unimas.my/id/eprint/29609/3/1.pdf
http://ir.unimas.my/id/eprint/29609/
_version_ 1703964070636421120
score 13.159267

Similar Items