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...
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| Формат: | Book section |
| Язык: | English |
| Опубликовано: |
Institute of Mathematical Statistics
2006
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