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...
| Автор: | |
|---|---|
| Інші автори: | |
| Формат: | Book section |
| Мова: | English |
| Опубліковано: |
Institute of Mathematical Statistics
2006
|