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...
Հիմնական հեղինակ: | Nielsen, B |
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Այլ հեղինակներ: | Ho, H |
Ձևաչափ: | Book section |
Լեզու: | English |
Հրապարակվել է: |
Institute of Mathematical Statistics
2006
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Նմանատիպ նյութեր
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Order determination 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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