Asymptotically efficient order selection in nonstationary AR processes

DOI10.1007/BF02595741zbMath0971.62048MaRDI QIDQ5936978

Alex Karagrigoriou

Publication date: 23 August 2001

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic efficiencyautoregressive processesdiscrete time seriesmodel selection criterianonstationary processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Order selection in nonstationary autoregressive models
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Asymptotically efficient selection of the order by the criterion autoregressive transfer function
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• On predictive least squares principles
• Estimating the dimension of a model
• Asymptotically efficient autoregressive model selection for multistep prediction
• Testing cointegration in infinite order vector autoregressive processes
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• Fitting autoregressive models for prediction
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Order of Differencing in ARIMA Models
• Regression and time series model selection in small samples
• Selection of the order of an autoregressive model by Akaike's information criterion
• Asymptotic efficiency of model selection criteria: the nonzero mean gaussian ar(∞) case