Testing nested and non-nested periodically integrated autoregressive models

DOI10.1080/03610929708831993zbMATH Open0920.62107OpenAlexW2118179041MaRDI QIDQ4226844FDOQ4226844

Authors: Philip Hans Franses, Michael McAleer 

Publication date: 23 February 1999

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/2098

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zbMATH Keywords

model selectionseasonalityperiodicity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Title not available (Why is that?)
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• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• On a Heuristic Method of Test Construction and its use in Multivariate Analysis
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• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Alternative procedures and associated tests of significance for non- nested hypotheses
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Testing nested or non-nested hypotheses
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• On periodic and multiple autoregressions
• Tests of non-nested linear regression models subject to linear restrictions
• Some aspects of testing non-nested hypotheses
• On the General Problem of Model Selection
• Statistical inference in non-nested econometric models
• Testing for periodic autocorrelations in seasonal time series data
• A multivariate approach to modeling univariate seasonal time series
• The implications of periodically varying coefficients for seasonal time- series processes
• The significance of testing empirical non-nested models

Cited In (4)

• Tests of the multiperiod two-parameter model
• Title not available (Why is that?)
• Non-parametric testing for seasonally and periodically integrated processes
• Structural breaks and seasonal integration

Uses Software

• partsm

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