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Article: A note on the corrected Akaike information criterion for threshold autoregressive models

TitleA note on the corrected Akaike information criterion for threshold autoregressive models
Authors
Wong, CSLi, WK
KeywordsCorrected Akaike information criterion
Kullback-Leibler information
Threshold time series model
Issue Date1998
PublisherBlackwell Publishing Ltd.
Citation
Journal Of Time Series Analysis, 1998, v. 19 n. 1, p. 113-124 How to Cite?
DOI: http://dx.doi.org/10.1111/1467-9892.00080
AbstractA bias-corrected Akaike information criterion AICC is derived for self-exciting threshold autoregressive (SETAR) models. The small sample properties of the Akaike information criteria (AIC, AICC) and the Bayesian information criterion (BIC) are studied using simulation experiments. It is suggested that AICC performs much better than AIC and BIC in small samples and should be put in routine usage.
Persistent Identifierhttp://hdl.handle.net/10722/82837
ISSN
0143-9782
2023 Impact Factor: 1.2
2023 SCImago Journal Rankings: 0.875
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorWong, CSen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:33:58Z-
dc.date.available2010-09-06T08:33:58Z-
dc.date.issued1998en_HK
dc.identifier.citationJournal Of Time Series Analysis, 1998, v. 19 n. 1, p. 113-124en_HK
dc.identifier.issn0143-9782en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82837-
dc.description.abstractA bias-corrected Akaike information criterion AICC is derived for self-exciting threshold autoregressive (SETAR) models. The small sample properties of the Akaike information criteria (AIC, AICC) and the Bayesian information criterion (BIC) are studied using simulation experiments. It is suggested that AICC performs much better than AIC and BIC in small samples and should be put in routine usage.en_HK
dc.languageengen_HK
dc.publisherBlackwell Publishing Ltd.en_HK
dc.relation.ispartofJournal of Time Series Analysisen_HK
dc.rightsJournal of Time Series Analysis. Copyright © Blackwell Publishing Ltd.en_HK
dc.subjectCorrected Akaike information criterionen_HK
dc.subjectKullback-Leibler informationen_HK
dc.subjectThreshold time series modelen_HK
dc.titleA note on the corrected Akaike information criterion for threshold autoregressive modelsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0143-9782&volume=19&issue=1&spage=113&epage=124&date=1998&atitle=A+note+on+the+corrected+Akaike+information+criterion+for+threshold+autoregressive+modelsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/1467-9892.00080-
dc.identifier.scopuseid_2-s2.0-0008324565en_HK
dc.identifier.hkuros29726en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0008324565&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume19en_HK
dc.identifier.issue1en_HK
dc.identifier.spage113en_HK
dc.identifier.epage124en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridWong, CS=20236705600en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.issnl0143-9782-

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