In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...

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...

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...

We propose an automatic model order selection procedure for k-factor GARMA processes. The procedure is based on sequential tests of the maximum of the periodogram and semiparametric estimators of the model parameters. As a byproduct, we introduce a generalized version of Walker's large sample...