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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 296:
A simple variable selection technique for nonlinear models

Gianluigi Rech, Timo Teräsvirta () and Rolf Tschernig

Abstract: Applying nonparametric variable selection criteria in nonlinear regression models generally requires a substantial computational effort if the data set is large. In this paper we present a selection technique that is computationally much less demanding and performs well in comparison with methods currently available. It is based on a Taylor expansion of the nonlinear model around a given point in the sample space. Performing the selection only requires repeated least squares estimation of models that are linear in parameters. The main limitation of the method is that the number of variables among which to select cannot be very large if the sample is small and the order of an adequate Taylor expansion is high. Large samples can be handled without problems.

Keywords: Autoregression; nonlinear regression; nonlinear time series; nonparametric variable selection; time series modelling; (follow links to similar papers)

JEL-Codes: C22; C51; (follow links to similar papers)

13 pages, February 3, 1999, Revised April 6, 2000

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This paper is published as:
Rech, Gianluigi, Timo Teräsvirta and Rolf Tschernig, (2001), 'A simple variable selection technique for nonlinear models', Communications in Statistics, Theory and Methods, Vol. 30, pages 1227-1241

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