Order determination in general vector autoregressions.

Order determination in general vector autoregressions.

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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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoir:	Nielsen, B
Formáid:	Working paper
Teanga:	English
Foilsithe / Cruthaithe:	Nuffield College (University of Oxford) 2001

Míreanna comhchosúla

Order determination in general vector autoregressions.
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Test for cointegration rank in general vector autoregressions.
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Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms.
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Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
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Generalized linear autoregressions.
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The asymptotic distribution of likelihood ratio test statistics for cointegration in unstable vector autoregressive processes.
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Likelihood analysis of a first order autoregressive model with exponential innovations
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Likelihood analysis of a first order autoregressive model with exponential innovations
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Correlograms for non-stationary autoregressions.
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Correlograms for non-stationary autoregressions.
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The empirical process of autoregressive residuals
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Oracle inequalities for high dimensional vector autoregressions
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The empirical process of autoregressive residuals.
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Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression.
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Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression.
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Time series properties of the class of generalized first order autoregressive processes with moving average errors
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Bartlett correction of the unit root test in autoregressive models.
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Robust inference in structural vector autoregressions with long-run restrictions
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The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes.
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A robust vector autoregressive model for forecasting economic growth in Malaysia
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Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors.
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Performance of autoregressive order selection criteria: a simulation study
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