Testing nested and non-nested periodically integrated autoregressive models
From MaRDI portal
Publication:4226844
DOI10.1080/03610929708831993zbMath0920.62107OpenAlexW2118179041MaRDI QIDQ4226844
Michael McAleer, Philip Hans Franses
Publication date: 23 February 1999
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: http://repub.eur.nl/pub/2098
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Alternative procedures and associated tests of significance for non- nested hypotheses
- Testing nested or non-nested hypotheses
- Tests of non-nested linear regression models subject to linear restrictions
- Statistical inference in non-nested econometric models
- Some aspects of testing non-nested hypotheses
- On periodic and multiple autoregressions
- A multivariate approach to modeling univariate seasonal time series
- The significance of testing empirical non-nested models
- The implications of periodically varying coefficients for seasonal time- series processes
- The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Several Tests for Model Specification in the Presence of Alternative Hypotheses
- On the General Problem of Model Selection
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
- Testing for periodic autocorrelations in seasonal time series data
- On a Heuristic Method of Test Construction and its use in Multivariate Analysis
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Testing nested and non-nested periodically integrated autoregressive models
