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For linear regression and linear time series model selection a variety of criteria has been proposed for this purpose. For identifying the order of a SETAR model, Akaike's information criterion (AIC) is commonly applied in practice. However, one should be cautious in using this criterion since the exact likelihood function of a time series generated by a SETAR process does not exist. This is a basic assumption underlying the derivation of AIC and ``improved'' versions of AIC, like BIC of \\textit{H. Akaike} [Ann. Inst. Stat. Math. 30, 9-14 (1978; Zbl 0441.62007)]. In fact, for linear time series models only order selection criteria based on sample reuse such as cross-validation (CV) or bootstrapping can be strictly justified.NEWLINENEWLINENEWLINEIn this paper, three CV-criteria, denoted, respectively, by \\(C\\), \\(C_c\\) and \\(C_u\\), are proposed for general SETAR model selection. These criteria are tied to the out-of-sample prediction performance of SETAR models which is often an important goal in practice. The derivation of \\(C\\) is within a natural CV-framework. The criterion \\(C_c\\) is similar in spirit to \\(AIC_c,\\) i.e., a ``corrected'' version of \\(AIC\\) for linear models. The criterion \\(C_u\\) is a variant of \\(C_c\\) having a similar property as \\(AIC_u,\\) an approximately unbiased estimator of the Kullback-Leibler information in linear time series models. The simulation studies indicate that, in small-sample situations, \\(C_u\\) performs much better than \\(AIC_c\\) and various other SETAR model selection criteria. Further, it is shown that an analogue of \\(AIC_u\\) for SETAR model selection outperforms \\(AIC,\\) \\(AIC_c\\) and \\(BIC\\), all defined within a SETAR framework, except when the sample size is large. 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