ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS

DOI10.1111/J.1467-9892.1994.TB00193.XMaRDI QIDQ4299035zbMATH OpenOpenAlexFDO

Authors Alastair Hall

Publication date 18 September 1994

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1994.tb00193.x

zbMATH Keywords

information criterialimiting distributionsstationary autoregressive time series models

Mathematics Subject Classification ID

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

Recommendations

• Structural Identification Using Order Overspecified Time-Series Models
• Misspecification of noncausal order in autoregressive processes
• Order Estimation and Discrimination Between Stationary and Time-Varying (TVAR) Autoregressive Models
• Rank-Based Autoregressive Order Identification
• Order selection in nonstationary autoregressive models
• ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
• Autoregressive order identification for VAR models with non constant variance

Cites work

• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Statistical predictor identification

Cited in

(17)

• Misspecification of noncausal order in autoregressive processes
• Testing the order of a model
• Adaptive order determination for constructing time series forecasting models
• ON THE PROBABILITY OF ERROR WHEN USING A GENERAL AKAIKE-TYPE CRITERION TO ESTIMATE AUTOREGRESSION ORDER
• The Misspecification of Arma Models
• Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
• scientific article; zbMATH DE number 4143296 (Why is no real title available?)
• An improved divergence information criterion for the determination of the order of an AR process
• Higher-Order Crossings in Time Series Model Identification
• THE ESTIMATION OF THE ORDER OF AN AUTOREGRESSION USING RECURSIVE RESIDUALS AND CROSS-VALIDATION
• A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES
• scientific article; zbMATH DE number 1474896 (Why is no real title available?)
• MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE
• Model identification for time series with dependent innovations
• A minimum-eigenvalue ratio test of the product-moment matrix for time-series model-order estimates
• A note on the initial identification of scalar component models
• Order selection in nonstationary autoregressive models

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