The aim of this paper is to propose new selection criteria for the orders of selfexciting threshold autoregressive (SETAR) models. These criteria use bootstrap methodology; they are based on a weighted mean of the apparent error rate in the sample and the average error rate obtained from bootstrap samples not containing the point being predicted. These new criteria are compared with the traditional ones based on the Akaike information criterion (AIC). A simulation study and an example on a real data set end the paper.
KeywordsAkaike information criterion AR-sieve bootstrap bootstrap model selection criteria moving block bootstrap self-exciting threshold autoregressive models unbiased Akaike information criterion
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