Model selection under nonstationarity: Autoregressive models and stochastic linear regression models

DOI10.1214/AOS/1176347267zbMATH Open0683.62049OpenAlexW2087104794MaRDI QIDQ1824971FDOQ1824971

Authors: Benedikt M. Pötscher 

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347267

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zbMATH Keywords

model selectionAICnonstationarityorder estimationstochastic regression modelsregressor selectionnonergodic modelsAkaike information criteriumorder of general nonstationary autoregressive modelssufficient conditions for strong consistency of estimatorstime-dependent error variance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cited In (30)

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• Order selection in nonstationary autoregressive models
• Selection of Regression and Autoregression Models with Initial Ordering of Variables
• Informational complexity criteria for regression models.
• LASSO order selection for sparse autoregression: a bootstrap approach
• The regression model and the nonlinear autoregressive process -- a survey
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Model selection in the presence of nonstationarity
• Sequential model selection method for nonparametric autoregression
• PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?
• Semiparametric cointegrating rank selection
• Nonasymptotic bounds for autoregressive time series modeling.
• Inferring the rank of a matrix
• Twenty-one ML estimators for model selection
• A GIC rule for assessing data transformation in regression
• REGRESSION, AUTOREGRESSION MODELS
• Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
• Order selection for heteroscedastic autoregression: a study on concentration
• Selecting mixed-effects models based on a generalized information criterion
• On the underfitting and overfitting sets of models chosen by order selection criteria.
• Consistent order selection with strongly dependent data and its application to efficient estimation.
• Consistency of a class of information criteria for model selection in non-linear regression
• An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
• Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
• STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
• A modified information criterion for cointegration tests based on a VAR approximation
• Asymptotically efficient order selection in nonstationary AR processes
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Convergence rates of the generalized information criterion
• The GIC for model selection: A hypothesis testing approach

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