Consistent order selection with strongly dependent data and its application to efficient estimation.
type: Item
instance of: scholarly article
title: Consistent order selection with strongly dependent data and its application to efficient estimation.
zbMATH Open document ID: 1088.62520
DOI: 10.1016/S0304-4076(02)00094-5
published in: Journal of Econometrics
publication date: 2003-02-17T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1869224
zbMATH Keywords: order selection
zbMATH Keywords: distributed lag models
zbMATH Keywords: strong dependence
author: Javier Hidalgo
describes a project that uses: longmemo
MaRDI profile type: Publication
cites work: A new look at the statistical model identification
cites work: Autocorrelation, autoregression and autoregressive approximation
cites work: Q4865042
cites work: On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
cites work: Q3947020
cites work: The Variable Selection Problem
cites work: Estimating Regression Models of Finite but Unknown Order
cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
cites work: Q5609808
cites work: The estimation of a lagged regression relation
cites work: The estimation of the order of an ARMA process
cites work: Q4195812
cites work: Nonparametric Test for Causality with Long-range Dependence
cites work: Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
cites work: Fractional differencing
cites work: DETERMINING THE NUMBER OF TERMS IN A TRIGONOMETRIC REGRESSION
cites work: Fractional Brownian Motions, Fractional Noises and Applications
cites work: Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
cites work: Distributed lag approximation to linear time-invariant systems
cites work: Gaussian semiparametric estimation of long range dependence
cites work: Time series regression with long-range dependence
cites work: Estimating the dimension of a model
cites work: Approximation Theorems of Mathematical Statistics
cites work: Selection of the order of an autoregressive model by Akaike's information criterion
cites work: Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
cites work: An optimal selection of regression variables
cites work: Q4105970
cites work: Self-Similar Probability Distributions
cites work: A Combinatorial Lemma and Its Application to Probability Theory
cites work: Weak convergence to fractional brownian motion and to the rosenblatt process
cites work: AN AIC TYPE ESTIMATOR FOR THE NUMBER OF COSINUSOIDS
full work available at URL: s0304-4076(02)00094-5
OpenAlex ID: W3121590832
description: scientific article; zbMATH DE number 1869224