Summary Several nonlinear time series models have been proposed in the literature to explain various empirical nonlinear features of many observed financial and economic time series. One model that has gained much attention is the so-called self-exciting threshold autoregressive (SETAR) model....

Summary This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular, inconsistent results are obtained for pairwise...