Selecting Nonlinear Time Series Models Using Information Criteria
26 Pages Posted: 20 Jun 2009
Date Written: 0000
Abstract
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.
Suggested Citation: Suggested Citation
Register to save articles to
your library
Selecting Nonlinear Time Series Models Using Information Criteria
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: jtsa.pdf
Size: 2962K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
