Order determination in general vector autoregressions.

Order determination in general vector autoregressions.

Show other versions (1)

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...

Bibliografske podrobnosti
Glavni avtor:	Nielsen, B
Format:	Working paper
Jezik:	English
Izdano:	Nuffield College (University of Oxford) 2001

Podobne knjige/članki

Order determination in general vector autoregressions.
od: Nielsen, B
Izdano: (2006)

Test for cointegration rank in general vector autoregressions.
od: Nielsen, B
Izdano: (2009)

Singular vector autoregressions with deterministic terms: Strong consistency and lag order determination.
od: Nielsen, B
Izdano: (2008)

Asymptotic properties of least squares statistics in general vector autoregressive models.
od: Nielsen, B
Izdano: (2001)

Strong Consistency Results for Least Squares Estimators in General Vector Autoregressions with Deterministic Terms.
od: Nielsen, B
Izdano: (2005)

Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms.
od: Nielsen, B
Izdano: (2003)

Testing for rational bubbles in a co-explosive vector autoregression.
od: Engsted, T, et al.
Izdano: (2010)

Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
od: Kurita, T, et al.
Izdano: (2004)

Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model.
od: Kurita, T, et al.
Izdano: (2009)

Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
od: Kurita, T, et al.
Izdano: (2019)

Generalized linear autoregressions.
od: Shephard, N
Izdano: (1995)

The asymptotic distribution of likelihood ratio test statistics for cointegration in unstable vector autoregressive processes.
od: Nielsen, B
Izdano: (2000)

Likelihood analysis of a first order autoregressive model with exponential innovations
od: Nielsen, B, et al.
Izdano: (2003)

Likelihood analysis of a first order autoregressive model with exponential innovations
od: Shephard, N, et al.
Izdano: (2003)

On properties of the second order generalized autoregressive GAR(2) model with index.
od: Shitan, Mahendran, et al.
Izdano: (2009)

Correlograms for non-stationary autoregressions.
od: Nielsen, B
Izdano: (2006)

Correlograms for non-stationary autoregressions.
od: Nielsen, B
Izdano: (2003)

The empirical process of autoregressive residuals
od: Nielsen, B
Izdano: (2009)

Oracle inequalities for high dimensional vector autoregressions
od: Kock, A, et al.
Izdano: (2015)

The empirical process of autoregressive residuals.
od: Engler, E, et al.
Izdano: (2007)

The empirical process of autoregressive residuals.
od: Engler, E, et al.
Izdano: (2009)

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression.
od: Nielsen, B, et al.
Izdano: (2007)

Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression.
od: Nielsen, B, et al.
Izdano: (2004)

Variational Bayes for generalized autoregressive models
od: Roberts, S, et al.
Izdano: (2002)

A note on the variance of generalized first order autoregressive processes with moving average errors
od: Shitan, Mahendran
Izdano: (2008)

Bayesian vector autoregression time series forecasting model
od: Chen, Wen.
Izdano: (2008)

Application of vector autoregressive model in multiple time series /
od: Zuharah Jaafar, 1985-, et al.
Izdano: (2012)

Second order expansion of t-statistic in autoregressive models
od: Mikusheva, Anna
Izdano: (2011)

Time series properties of the class of generalized first-order autoregressive processes with moving average errors
od: Peiris, Shelton, et al.
Izdano: (2009)

Time series properties of the class of generalized first order autoregressive processes with moving average errors
od: Shitan, Mahendran, et al.
Izdano: (2011)

Robust inference in structural vector autoregressions with long-run restrictions
od: Chevillon, G, et al.
Izdano: (2019)

Bartlett correction of the unit root test in autoregressive models.
od: Nielsen, B
Izdano: (1995)

The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes.
od: Nielsen, B
Izdano: (2001)

A robust vector autoregressive model for forecasting economic growth in Malaysia
od: Khamis, Azme, et al.
Izdano: (2018)

Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors.
od: Hendry, D, et al.
Izdano: (1976)

Multistage mean-variance portfolio selection in cointegrated vector autoregressive systems
od: Rudoy, Melanie Beth
Izdano: (2009)

Application of vector autoregressive model in multiple time series [electronic resource] /
od: Zuharah Jaafar, 1985-
Izdano: (2012)

Performance of autoregressive order selection criteria: a simulation study
od: Liew, Venus Khim-Sen, et al.
Izdano: (2008)

Comparing vector autoregressive (VAR) estimation with combine white noise (CWN) estimation
od: Agboluaje, Ayodele Abraham, et al.
Izdano: (2016)

Regime-dependent impulse response functions in a Markov-switching vector autoregression model.
od: Ehrmann, M, et al.
Izdano: (2001)