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...

书目详细资料
主要作者:	Nielsen, B
其他作者:	Ho, H
格式:	Book section
语言:	English
出版:	Institute of Mathematical Statistics 2006

相似书籍

Order determination in general vector autoregressions.
由: Nielsen, B
出版: (2001)

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

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

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

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

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

Causal Vector Autoregression Enhanced with Covariance and Order Selection
由: Marianna Bolla, et al.
出版: (2023-02-01)

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

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

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

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

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

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

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

Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms
由: Takamitsu Kurita, et al.
出版: (2019-10-01)

Modelling Determinants of Inflation in CESEE Countries: Global Vector Autoregressive Approach
由: Jakšić Saša
出版: (2022-06-01)

Determinants of Private investment in Iran: Using A Vector Autoregression Approach
出版: (2009-04-01)

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

Generalized linear autoregressions.
由: Shephard, N
出版: (1995)

Counterfactual reasoning with vector autoregressive models
由: Kurt Butler, et al.
出版: (2025-03-01)

VECTOR AUTOREGRESSIVE MODELS USING “R”
由: Ciprian ALEXANDRU, et al.
出版: (2013-06-01)

Determinants of Deviation from Inflation Targets in Pakistan: A Vector Autoregressive Approach
由: Sunila Jabeen, et al.
出版: (2015-07-01)

Determinants of Deviation from Inflation Targets in Pakistan: A Vector Autoregressive Approach
由: Sunila Jabeen, et al.
出版: (2015-07-01)

Determinants of Deviation from Inflation Targets in Pakistan: A Vector Autoregressive Approach
由: Sunila Jabeen, et al.
出版: (2015-07-01)

Determinants of Deviation from Inflation Targets in Pakistan: A Vector Autoregressive Approach
由: Sunila Jabeen, et al.
出版: (2015-09-01)

The Determinants of Fiscal Deficit in South Africa: A Bayesian Vector Autoregressive Approach
由: Atoko Kasongo
出版: (2023-07-01)

Correlograms for non-stationary autoregressions.
由: Nielsen, B
出版: (2006)

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

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

Correlograms for non-stationary autoregressions.
由: Nielsen, B
出版: (2003)

The empirical process of autoregressive residuals
由: Nielsen, B
出版: (2009)

Analysis of the use of vector autoregressions in economic forecasting
由: Svetunkov S.G.
出版: (2023-01-01)

Government Expenditure in Maluku: Autoregressive Vector Analysis
由: Jacobus Cliff Diky Rijoly
出版: (2019-06-01)

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

First-order planar autoregressive model
由: Sergiy Shklyar
出版: (2024-08-01)

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

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

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

An Approach of Vector Autoregression Model for Inflation Analysis in Indonesia
由: Idah Zuhroh, et al.
出版: (2018-03-01)

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