Information criteria for selecting possibly misspecified parametric models

DOI10.1016/0304-4076(94)01701-8zbMath0843.62089OpenAlexW2006571972MaRDI QIDQ1915447

Publication date: 14 August 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01701-8

zbMATH Keywords

central limit theorem Akaike information criterion weak consistency law of iterated logarithm strong consistency Schwarz information criterion STAR models ARMAX-GARCH Hannan-Quinn information criterion lower average Kullback-Leibler information criterion models of dependent processes penalized likelihood criteria

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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