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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce


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Volume 20, Issue 3

Issues

Information criteria for nonlinear time series models

Saskia Rinke
  • Institute of Statistics, Leibniz University Hannover, School of Economics and Management, Königsworther Platz 1, D-30167 Hannover, Germany
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
/ Philipp Sibbertsen
  • Corresponding author
  • Institute of Statistics, Leibniz University Hannover, School of Economics and Management, Königsworther Platz 1, D-30167 Hannover, Germany
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  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
Published Online: 2015-12-09 | DOI: https://doi.org/10.1515/snde-2015-0026

Abstract

In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different versions of the commonly known criteria AIC, SIC and AICc. In addition, we also assess the performance of WIC and evaluate the impact of the error term variance estimator. Our results confirm the findings of different authors that AIC and AICc favor nonlinear over linear models, whereas weighted versions of WIC and all versions of SIC are able to successfully distinguish linear and nonlinear models. However, the discrimination between different nonlinear model classes is more difficult. Nevertheless, the lag order selection is reliable. In general, information criteria involving the unbiased error term variance estimator overfit less and should be preferred to using the usual ML estimator of the error term variance.

This article offers supplementary material which is provided at the end of the article.

Keywords: information criteria; Monte Carlo; nonlinear time series; threshold models

JEL: C15; C22

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About the article

Corresponding author: Philipp Sibbertsen, Institute of Statistics, Leibniz University Hannover, School of Economics and Management, Königsworther Platz 1, D-30167 Hannover, Germany, Tel.: +49-511-762-3783, Fax: +49-511-762-3923, e-mail:


Published Online: 2015-12-09

Published in Print: 2016-06-01


Citation Information: Studies in Nonlinear Dynamics & Econometrics, Volume 20, Issue 3, Pages 325–341, ISSN (Online) 1558-3708, ISSN (Print) 1081-1826, DOI: https://doi.org/10.1515/snde-2015-0026.

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