A note on the corrected Akaike information criterion for threshold autoregressive models

DOI10.1111/1467-9892.00080zbMath0902.62113OpenAlexW2093903524MaRDI QIDQ3838324

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Publication date: 9 August 1998

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00080

zbMATH Keywords

simulationBayesian information criterionKullback-Leibler informationbias-corrected Akaike information criterionthreshold time series model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Improved model selection criteria for SETAR time series models ⋮ Predictive density criterion for SETAR models ⋮ The real consequences of financial stress ⋮ Linear approximation of the threshold autoregressive model: an application to order estimation ⋮ On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models ⋮ Information criteria for nonlinear time series models ⋮ Bootstrapping Threshold Autoregressive Models ⋮ Simple Formula for Calculating Bias‐corrected AIC in Generalized Linear Models ⋮ SETAR model selection -- a bootstrap approach ⋮ Bayesian selection of threshold autoregressive models ⋮ Bayesian Model Uncertainty In Smooth Transition Autoregressions

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