Selecting Nonlinear Time Series Models Using Information Criteria

26 Pages Posted: 20 Jun 2009

See all articles by Zacharias Psaradakis

Zacharias Psaradakis

University of London - Economics, Mathematics and Statistics

Martín Sola

Universidad Torcuato Di Tella; University of London - Economics, Mathematics and Statistics

Fabio Spagnolo

Brunel University London - Economics and Finance

Nicola Spagnolo

Brunel University London - Economics and Finance

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

Psaradakis, Zacharias and Sola, Martín and Spagnolo, Fabio and Spagnolo, Nicola, Selecting Nonlinear Time Series Models Using Information Criteria (0000). Journal of Time Series Analysis, Vol. 30, Issue 4, pp. 369-394, July 2009. Available at SSRN: https://ssrn.com/abstract=1423148 or http://dx.doi.org/10.1111/j.1467-9892.2009.00614.x

Zacharias Psaradakis (Contact Author)

University of London - Economics, Mathematics and Statistics ( email )

7-15 Gresse Street
London, WC1E 7HX
United Kingdom
+44 20 7631 6415 (Phone)
+44 20 7631 6416 (Fax)

HOME PAGE: http://www.econ.bbk.ac.uk/faculty/psaradakis/

Martín Sola

Universidad Torcuato Di Tella ( email )

Minones 2159
1428 Buenos Aires, 1428
Argentina
5411 4784 0080 (Phone)
5411 4784 9807 (Fax)

University of London - Economics, Mathematics and Statistics ( email )

Malet Street
London, WC1E 7HX
United Kingdom
+44 20 7631 6411 (Phone)
+44 20 7631 6416 (Fax)

HOME PAGE: http://www.econ.bbk.ac.uk/faculty/sola/

Fabio Spagnolo

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom
+44 1895 816383 (Phone)
+44 1895 203303 (Fax)

HOME PAGE: http://www.brunel.ac.uk/depts/ecf/Staff/SpagnoloF/Main.htm

Nicola Spagnolo

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom

Register to save articles to
your library

Register

Paper statistics

Downloads
2
Abstract Views
452
PlumX Metrics