Information criteria for nonlinear time series models

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Estimating the dimension of a model
Generalized autoregressive conditional heteroscedasticity
Regression and time series model selection in small samples
A new look at the statistical model identification
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
Model Selection Uncertainty and Detection of Threshold Effects
Testing linearity against smooth transition autoregressive models
The model selection criterion AICu.
Model selection using AIC in the presence of one-sided information
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Estimation and model selection based inference in single and multiple threshold models.
Markov-switching model selection using Kullback-Leibler divergence
Threshold models in non-linear time series analysis
Model selection in threshold models
A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
Inference in TAR Models
Selecting nonlinear time series models using information criteria
A note on the corrected Akaike information criterion for threshold autoregressive models
The weighted average information criterion for order selection in time series and regression models
Information criteria: how do they behave in different models?
Selecting the order of an ARCH model

Cited In (11)

Models for autoregressive processes of bounded counts: how different are they?
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The information matrix of multiple-input single-output time series models
A parametric, information-theory model for predictions in time series
Linear approximation of the threshold autoregressive model: an application to order estimation
Information quantity evaluation of nonlinear time series processes and applications
An empirical study on the parsimony and descriptive power of TARMA models
On the performance of information criteria for model identification of count time series
Title not available (Why is that?)
Estimating the active dimension of the dynamics in a time series based on an information criterion
Selecting nonlinear time series models using information criteria

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