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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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University Library of Munich, Germany
2003
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/29609/3/1.pdf http://ir.unimas.my/id/eprint/29609/ |
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