Effects of STAR and TAR types nonlinearities on order selection criteria

Venus, Khim-Sen Liew and Terence, Tai-leung Chong (2003) Effects of STAR and TAR types nonlinearities on order selection criteria.

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Abstract

This paper investigates via a simulation study the effects of nonlinearities on several commonly used order selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive order, even in the presence of STAR or TAR nonlinearity. Thus we conclude that these criteria may be safely applied to determine the true order of STAR or TAR process.

Item Type: Article
Uncontrolled Keywords: STAR process, TAR process, AR process, nonlinearities, order selection criteria, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak.
Subjects: H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Gani
Date Deposited: 08 May 2020 00:58
Last Modified: 24 Jun 2021 08:15
URI: http://ir.unimas.my/id/eprint/29609

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