Model Selection in Threshold Models
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Publication:2784959
DOI10.1111/1467-9892.00251zbMath0985.62071OpenAlexW2027314621MaRDI QIDQ2784959
Publication date: 24 April 2002
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/wp9906.pdf
Markov switching modelsgeneralized information criterioninformation complexity criterionself-exciting threshold autoregressive time series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Statistical aspects of information-theoretic topics (62B10)
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