Selecting nonlinear time series models using information criteria

DOI10.1111/j.1467-9892.2009.00614.xzbMath1224.62067OpenAlexW2151747877MaRDI QIDQ3077654

Fabio Spagnolo, Nicola Spagnolo, Martin Sola, Zacharias Psaradakis

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00614.x

zbMATH Keywords

nonlinear modelsMonte Carlo experimentscomplexity-penalized likelihood criteria

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

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Uses Software

• ESTAR

Cites Work

• Contemporaneous threshold autoregressive models: estimation, testing and forecasting
• Estimating the dimension of a model
• Maximum likelihood principle and model selection when the true model is unspecified
• Information criteria for selecting possibly misspecified parametric models
• Model Selection in Threshold Models
• A Bayesian comparison of different classes of dynamic models using empirical data
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Model Selection and the Principle of Minimum Description Length
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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