Consistent order selection with strongly dependent data and its application to efficient estimation.

DOI10.1016/S0304-4076(02)00094-5MaRDI QIDQ1858970zbMATHOpenAlexFDO

Authors Javier Hidalgo

Publication date 17 February 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(02)00094-5

zbMATH Keywords

strong dependenceorder selectiondistributed lag models

Mathematics Subject Classification ID

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

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Cited in

(7)

• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Model identification using the efficient determination criterion
• Time Series and Model Selection
• Modified information criteria and selection of long memory time series models
• Strongly consistent model selection for general causal time series
• Order selection and inference with long memory dependent data
• Nonlinear models for strongly dependent processes with financial applications

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Uses Software

• longmemo

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