Dynamics of Model Overfitting Measured in terms of Autoregressive Roots

DOI10.1111/J.1467-9892.2006.00468.XMaRDI QIDQ3411050zbMATH OpenOpenAlexFDO

Authors Clive W. J. Granger, Yongil Jeon

Publication date 8 December 2006

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2006.00468.x

zbMATH Keywords

Akaike information criterionunit rootmultivariate autoregressive modelBayesian information criterionmacroeconomic time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
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• Forecasting Performance of Information Criteria with Many Macro Series
• The Misspecification of Arma Models
• scientific article; zbMATH DE number 6193731

Cites work

• Forecasting Performance of Information Criteria with Many Macro Series
• Time series: theory and methods

Cited in

(2)

• A multicointegration model of global climate change
• Unit roots in white noise

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