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Reference: Bent Nielsen, Order determination in general vector autoregressions In H.-C. Ho ed., C.-K. Ing ed., T.L. Lai ed. (2006). Time Series and Related Topics: In Memory of Ching-Zong Wei. Institute of Mathematical Statistics. 93 - 112.Citable link to this page:

 

Order determination in general vector autoregressions.

Abstract: In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary. It is shown that these methods can be used regardless of the assumption to the characteristic roots.

Bibliographic Details

Host: Time Series and Related Topics: In Memory of Ching-Zong Weisee more from themIdentifiers

Doi: https://doi.org/10.1214/074921706000000978

Urn: uuid:fca6d5c1-27c7-430f-bd46-23bc62d79ea3 Item Description

Type: info:eu-repo/semantics/bookPart;

Language: en

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Author: Bent Nielsen - - - - Bibliographic Details Host: Time Series and Related Topics: In Memory of Ching-Zong Wei see more from them -

Source: https://ora.ox.ac.uk/objects/uuid:fca6d5c1-27c7-430f-bd46-23bc62d79ea3



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