ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS

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Testing for a unit root nonstationarity in multivariate autoregressive time series
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Information criteria for selecting possibly misspecified parametric models
Variable selection In regression models using global sensitivity analysis
Consistent order selection for ARFIMA processes
Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
Divergence rate of state of AR systems with unstable unit roots
The integration order of vector autoregressive processes
A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING
Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
Selecting the forgetting factor in subset autoregressive modelling
Autoregressive order identification for VAR models with non constant variance
Testing for Neglected Nonlinearity in Cointegrating Relationships
Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
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MARGINALS OF MULTIVARIATE FIRST-ORDER AUTOREGRESSIVE TIME SERIES MODELS
Comparisons of tests for multivariate cointegration
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The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling
The relationship between budgetary expenditure and economic growth in Poland
Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models
Determining the cointegration rank in heteroskedastic VAR models of unknown order
DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
Comparison of procedures for fitting the autoregressive order of a vector error correction model
SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
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A note on parameter reduction in the \(\mathrm{AR}(p)\) process
Lag length estimation in large dimensional systems
THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
Testing of two-dimensional Gaussian processes by sample cross-covariance function
Consistency of averaged impulse response estimators in vector autoregressive models
Using information criteria to select averages in CCE
Lag order selection for long-run variance estimation in econometrics
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

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