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

DOI10.1016/S0304-4076(02)00094-5zbMATH Open1088.62520OpenAlexW3121590832MaRDI QIDQ1858970FDOQ1858970

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

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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)

Cites Work

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Cited In (5)

• Time Series and Model Selection
• Modified information criteria and selection of long memory time series models
• Nonlinear models for strongly dependent processes with financial applications
• Order Selection and Inference with Long Memory Dependent Data
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

Uses Software

• longmemo

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