Order determination in general vector autoregressions.
In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of...
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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
2001
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| _version_ | 1826304830423957504 |
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| author | Nielsen, B |
| author_facet | Nielsen, B |
| author_sort | Nielsen, B |
| collection | OXFORD |
| description | In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary. It is shown that these methods can be used regardless of the assumption to the characteristic roots. |
| first_indexed | 2024-03-07T06:23:42Z |
| format | Working paper |
| id | oxford-uuid:f38cc7e2-f3ee-4968-8b43-9593c2f343b1 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T06:23:42Z |
| publishDate | 2001 |
| publisher | Nuffield College (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:f38cc7e2-f3ee-4968-8b43-9593c2f343b12022-03-27T12:12:57ZOrder determination in general vector autoregressions.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:f38cc7e2-f3ee-4968-8b43-9593c2f343b1EnglishDepartment of Economics - ePrintsNuffield College (University of Oxford)2001Nielsen, BIn the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary. It is shown that these methods can be used regardless of the assumption to the characteristic roots. |
| spellingShingle | Nielsen, B Order determination in general vector autoregressions. |
| title | Order determination in general vector autoregressions. |
| title_full | Order determination in general vector autoregressions. |
| title_fullStr | Order determination in general vector autoregressions. |
| title_full_unstemmed | Order determination in general vector autoregressions. |
| title_short | Order determination in general vector autoregressions. |
| title_sort | order determination in general vector autoregressions |
| work_keys_str_mv | AT nielsenb orderdeterminationingeneralvectorautoregressions |