Testing nested and non-nested periodically integrated autoregressive models

DOI10.1080/03610929708831993MaRDI QIDQ4226844zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

model selectionseasonalityperiodicity

Mathematics Subject Classification ID

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

Recommendations

• scientific article; zbMATH DE number 6441661
• Tests of integration in circular autoregressive models
• Nonnested testing for competing autoregressive dynamic models estimated by instrumental variables
• Testing for parameter stability in nonlinear autoregressive models
• Hypothesis testing for nearly nonstationary autoregressive models
• Testing nonstationary and absolutely regular nonlinear time series models

Cites work

• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• A multivariate approach to modeling univariate seasonal time series
• Alternative procedures and associated tests of significance for non- nested hypotheses
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• On a Heuristic Method of Test Construction and its use in Multivariate Analysis
• On periodic and multiple autoregressions
• On the General Problem of Model Selection
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Some aspects of testing non-nested hypotheses
• Statistical inference in non-nested econometric models
• Testing for periodic autocorrelations in seasonal time series data
• Testing nested or non-nested hypotheses
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of non-nested linear regression models subject to linear restrictions
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The implications of periodically varying coefficients for seasonal time- series processes
• The significance of testing empirical non-nested models
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

Cited in

(4)

• scientific article; zbMATH DE number 6441661 (Why is no real title available?)
• Tests of the multiperiod two-parameter model
• Structural breaks and seasonal integration
• Non-parametric testing for seasonally and periodically integrated processes

Describes a project that uses

Uses Software

• partsm

This page was built for publication: Testing nested and non-nested periodically integrated autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4226844)