Effects of STAR and TAR types nonlinearities on order selection criteria
This paper investigates via a simulation study the effects of nonlinearities on several commonly used order selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive order, even in the presence of STAR...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | en |
| Published: |
University Library of Munich, Germany
2003
|
| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/29609/3/1.pdf http://ir.unimas.my/id/eprint/29609/ |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | This paper investigates via a simulation study the effects of nonlinearities on several commonly used order
selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably
well in estimating the true autoregressive order, even in the presence of STAR or TAR nonlinearity. Thus we
conclude that these criteria may be safely applied to determine the true order of STAR or TAR process. |
|---|