Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series

DOI10.1080/03610920802531314zbMath1170.62035OpenAlexW2052756828MaRDI QIDQ3396340

Zijun Wang

Publication date: 18 September 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802531314

zbMATH Keywords

model selectiontime seriesinformation criterionnonparametric model specificationUS economic data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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