Model Selection in Threshold Models
Work
Year: 2001
Type: article
Abstract: This paper considers information criteria as model evaluation tools for nonlinear threshold models. Results concerning the consistency of information criteria in selecting the lag order of linear auto... more
Source: Journal of Time Series Analysis
Author George Kapetanios
Cites: 13
Cited by: 67
Related to: 10
FWCI: 3.863
Citation percentile (by year/subfield): 91.63
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green