Model Selection Uncertainty and Detection of Threshold Effects

DOI10.2202/1558-3708.1256MaRDI QIDQ5452731zbMATH OpenOpenAlexFDO

Authors Jean-Yves Pitarakis

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://eprints.soton.ac.uk/34264/1/0409.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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(6)

• Simple measures of uncertainty for model selection
• Measuring the unidentified parameter of the extended Roy model of selectivity
• Modeling and forecasting interval time series with threshold models
• Information criteria for nonlinear time series models
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Significance tests in the presence of model uncertainty and specification search

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