A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

DOI10.1111/j.1467-9892.1993.tb00144.xzbMath0768.62076OpenAlexW2003068901MaRDI QIDQ5285834

Clifford M. Hurvich, Chih-Ling Tsai

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00144.x

zbMATH Keywords

Monte Carlo resultsAkaike information criterionorder selectionvector autoregressive modelsapproximately unbiased estimatorexpected Kullback-Leibler informationsmall-sample criterion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Time series: theory and methods.
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• The exact likelihood function of multivariate autoregressive-moving average models
• A new look at the statistical model identification

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