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Costs of misspecification in break-model unit-root tests

Maican, Florín G.; Sweeney, Richard J. - In: Applied economics 46 (2014) 1/3, pp. 111-118

Persistent link: https://www.econbiz.de/10010354074

The influence of additive outliers on the performance of information criteria to detect nonlinearity

Rinke, Saskia - 2016

hence of linearity tests, resulting in spurious test decisions of nonlinearity. Using simulation studies, the performance of …

Persistent link: https://www.econbiz.de/10011488709

Information criteria for nonlinear time series models

Rinke, Saskia; Sibbertsen, Philipp - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 325-341

Persistent link: https://www.econbiz.de/10011507539

Information criteria for nonlinear time series models

Rinke, Saskia; Sibbertsen, Philipp - 2015

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 …

Persistent link: https://www.econbiz.de/10010503893

Detecting location shifts during model selection by step-indicator saturation

Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics : open access journal 3 (2015) 2, pp. 240-264

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

Persistent link: https://www.econbiz.de/10011297656