Arbeitspapier

Information criteria for nonlinear time series models

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.

Sprache
Englisch

Erschienen in
Series: Hannover Economic Papers (HEP) ; No. 548

Klassifikation
Wirtschaft
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Thema
Information Criteria
Nonlinear Time Series
Threshold Models
Monte Carlo

Ereignis
Geistige Schöpfung
(wer)
Rinke, Saskia
Sibbertsen, Philipp
Ereignis
Veröffentlichung
(wer)
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(wo)
Hannover
(wann)
2015

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Rinke, Saskia
  • Sibbertsen, Philipp
  • Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Entstanden

  • 2015

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