An efficient branch-and-bound strategy for subset vector autoregressive model selection

DOI10.1016/J.JEDC.2007.08.001MaRDI QIDQ844693zbMATH OpenOpenAlexFDO

Authors Cristian Gatu, Manfred Gilli, Peter Winker, Erricos J. Kontoghiorghes

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2007.08.001

zbMATH Keywords

model selectionvector autoregressive modelbranch-and-bound algorithms

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57)

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Cited in

(8)

• Subset selection for vector autoregressive processes via adaptive Lasso
• Order selection criteria for vector autoregressive models
• Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance
• Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process
• Covariate unit root tests with good size and power
• Efficient strategies for deriving the subset VAR models
• A graph approach to generate all possible regression submodels
• Boosting nonlinear additive autoregressive time series

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