English, Article edition: Selecting nonlinear time series models using information criteria Zacharias Psaradakis; Martin Sola; Fabio Spagnolo; ...

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Bookmark: http://trove.nla.gov.au/version/108862
Physical Description
  • article
Language
  • English

Edition details

Title
  • Selecting nonlinear time series models using information criteria
Author
  • Zacharias Psaradakis
  • Martin Sola
  • Fabio Spagnolo
  • Nicola Spagnolo
Physical Description
  • article
Notes
  • This article considers the problem of selecting among competing nonlinear time series models by using complexity-penalized likelihood criteria. An extensive simulation study is undertaken to assess the small-sample performance of several popular criteria in selecting among nonlinear autoregressive models belonging to some families that have been popular with practitioners. Copyright 2009 Blackwell Publishing Ltd
  • RePEc:bla:jtsera:v:30:y:2009:i:4:p:369-394
Language
  • English
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