ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS

DOI10.1111/j.1467-9892.1984.tb00381.xzbMath0556.62066OpenAlexW2010925241MaRDI QIDQ3219619

Jostein Paulsen

Publication date: 1984

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00381.x

zbMATH Keywords

estimationweak consistencyleast squaresautoregressive time seriesnonstationarityorder determinationfinite fourth-order moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (18)

Consistent order selection for ARFIMA processes ⋮ Autoregressive Order Identification for VAR Models with Non Constant Variance ⋮ A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING ⋮ Information criteria for selecting possibly misspecified parametric models ⋮ Comparisons of tests for multivariate cointegration ⋮ Testing for Neglected Nonlinearity in Cointegrating Relationships ⋮ The relationship between budgetary expenditure and economic growth in Poland ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling ⋮ Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations ⋮ DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER ⋮ THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION ⋮ Comparison of procedures for fitting the autoregressive order of a vector error correction model ⋮ Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions ⋮ Variable selection In regression models using global sensitivity analysis ⋮ Lag length estimation in large dimensional systems ⋮ On the underfitting and overfitting sets of models chosen by order selection criteria. ⋮ Selecting the forgetting factor in subset autoregressive modelling

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating the dimension of a model
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
• A new look at the statistical model identification

This page was built for publication: ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS