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

DOI10.1214/AOS/1176347267MaRDI QIDQ1824971zbMATHOpenAlexFDO

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

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)

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Cited in

(32)

• Sequential model selection method for nonparametric autoregression
• Model selection in the presence of nonstationarity
• Order selection for possibly infinite-order non-stationary time series
• Asymptotically efficient order selection in nonstationary AR processes
• Consistent order selection with strongly dependent data and its application to efficient estimation.
• LASSO order selection for sparse autoregression: a bootstrap approach
• The GIC for model selection: A hypothesis testing approach
• Variable selection in generalized random coefficient autoregressive models
• Selection of regression and autoregression models with initial ordering of variables
• A GIC rule for assessing data transformation in regression
• STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
• Order selection for heteroscedastic autoregression: a study on concentration
• Inferring the rank of a matrix
• An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
• Informational complexity criteria for regression models.
• Order selection in nonstationary autoregressive models
• Convergence rates of the generalized information criterion
• A modified information criterion for cointegration tests based on a VAR approximation
• Prediction/estimation with simple linear models: is it really that simple?
• Predictive, finite-sample model choice for time series under stationarity and non-stationarity
• REGRESSION, AUTOREGRESSION MODELS
• Selecting mixed-effects models based on a generalized information criterion
• On the underfitting and overfitting sets of models chosen by order selection criteria.
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Twenty-one ML estimators for model selection
• Lag length selection for unit root tests in the presence of nonstationary volatility
• Semiparametric cointegrating rank selection
• The regression model and the nonlinear autoregressive process -- a survey
• Nonasymptotic bounds for autoregressive time series modeling.
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Consistency of a class of information criteria for model selection in non-linear regression
• Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations

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