Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
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Publication:3411050
DOI10.1111/j.1467-9892.2006.00468.xzbMath1126.62117OpenAlexW2042931356MaRDI QIDQ3411050
Clive W. J. Granger, Yongil Jeon
Publication date: 8 December 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00468.x
Akaike information criterionBayesian information criterionunit rootmultivariate autoregressive modelmacroeconomic time series
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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