On consistency of minimum description length model selection for piecewise autoregressions

DOI10.1016/j.jeconom.2016.05.013zbMath1443.62250MaRDI QIDQ308393

Stacey A. Hancock, Yi-Ching Yao, Richard A. Davis

Publication date: 6 September 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.013

zbMATH Keywords

model selection; minimum description length; structural break; change-point; autoregressive process

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Piecewise autoregression for general integer-valued time series, Consistency of minimum description length model selection for piecewise stationary time series models

Uses Software

• wbs

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