Model selection in the presence of nonstationarity

DOI10.1016/J.JECONOM.2012.01.029MaRDI QIDQ528002zbMATH OpenOpenAlexFDO

Authors Jae-Young Kim

Publication date 12 May 2017

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

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612000395

zbMATH Keywords

model selectionpowernonstationarityparsimonyBayesian rule

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Order selection in nonstationary autoregressive models
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• Model Selection Criteria: An Investigation of Relative Accuracy, Posterior Probabilities, and Combinations of Criteria
• Model selection tests for nonlinear dynamic models
• On a criterion for the selection of models for stationary time series

Cites work

• scientific article; zbMATH DE number 3982257 (Why is no real title available?)
• scientific article; zbMATH DE number 4052850 (Why is no real title available?)
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A large-sample model selection criterion based on Kullback's symmetric divergence
• An Asymtotic Theory of Bayesian Inference for Time Series
• Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes
• Bayesian Measures of Model Complexity and Fit
• Bayesian skepticism on unit root econometrics
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Econometric Model Determination
• Estimating Regression Models of Finite but Unknown Order
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the dimension of a model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Generalized empirical likelihood-based model selection criteria for moment condition models
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
• Order selection in nonstationary autoregressive models
• Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
• Regression and time series model selection in small samples
• Selection of Regressors
• Simplicity, Inference and Modelling
• Some Comments on C P

Cited in

(5)

• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
• Model comparison and selection for stationary space-time models
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Improving robust model selection tests for dynamic models

This page was built for publication: Model selection in the presence of nonstationarity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528002)