On multivariate time series model selection involving many candidate VAR models

zbMATH Open1389.62140MaRDI QIDQ2969402FDOQ2969402

Authors: Xindong Zhao, Guoqi Qian 

Publication date: 15 March 2017

Full work available at URL: http://www.ejpam.com/index.php/ejpam/article/view/1847

Recommendations

• On time series model selection involving many candidate ARMA models
• Two-step adaptive model selection for vector autoregressive processes
• Model selection for vector autoregressive processes via adaptive lasso
• scientific article; zbMATH DE number 1179945
• Selection in VAR-models using equal and unequal lag-length procedures

zbMATH Keywords

Gibbs samplervector autoregressive (VAR) modelsmultivariate time series model selection

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

• Estimating the dimension of a model
• Regression and time series model selection in small samples
• Title not available (Why is that?)
• Title not available (Why is that?)
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Title not available (Why is that?)
• Title not available (Why is that?)
• Classical Model Selection via Simulated Annealing
• Bayesian Graphical Models for Discrete Data
• The estimation of the order of an ARMA process
• Testing for a unit root in time series regression
• A Bayesian analysis of the minimum AIC procedure
• ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
• Title not available (Why is that?)
• Comments on testing economic theories and the use of model selection criteria
• Title not available (Why is that?)
• On time series model selection involving many candidate ARMA models
• Computations and analysis in robust regression model
• Title not available (Why is that?)

Cited In (6)

• Model selection criteria for reduced rank multivariate time series: a simulation study
• On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations
• An efficient branch-and-bound strategy for subset vector autoregressive model selection
• On time series model selection involving many candidate ARMA models
• Deviance information criterion for comparing VAR models
• A Multivariate Time Series Analysis of Some Flour Price Data

This page was built for publication: On multivariate time series model selection involving many candidate VAR models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2969402)