Using instrumental variables for selecting the order of arma models
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Publication:3474143
DOI10.1080/03610928808829787zbMath0696.62351OpenAlexW2012807480MaRDI QIDQ3474143
G. Anandalingam, Fahimeh Rezayat
Publication date: 1988
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610928808829787
Related Items (3)
A comparison of some autocovariance-based methods of arma model selection: a simulation study ⋮ A comparison of some of pattern identification methods for order determination of mixed ARMA models ⋮ The asymptotic joint distribution of the correlation determinant estimates of an arma process
Cites Work
- Principles and procedures of numerical analysis
- Linear identification of ARMA processes
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- Estimation of the order of linear systems
- The Estimation of Economic Relationships using Instrumental Variables
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- A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL
- Automatic model identification using vector sample autocorrelation function
- Inverse Autocorrelations
- Recursive estimation of mixed autoregressive-moving average order
- Two-Step Process Identification With Correlation Analysis and Least-Squares Parameter Estimation
- Some recent advances in time series modeling
- Selection of the order of an autoregressive model by Akaike's information criterion
- A characterization of the inverse autocorrelation function
- A new look at the statistical model identification
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