Model selection in the presence of nonstationarity

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

Cites Work

Estimating the dimension of a model
Regression and time series model selection in small samples
Bayesian Measures of Model Complexity and Fit
Title not available (Why is that?)
Some Comments on C P
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Estimating and Testing Linear Models with Multiple Structural Changes
Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
Selection of Regressors
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
An Asymtotic Theory of Bayesian Inference for Time Series
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
GENERALIZED EMPIRICAL LIKELIHOOD–BASED MODEL SELECTION CRITERIA FOR MOMENT CONDITION MODELS
Simplicity, Inference and Modelling
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
Econometric Model Determination
Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes
Title not available (Why is that?)
Title not available (Why is that?)
A large-sample model selection criterion based on Kullback's symmetric divergence
Bayesian skepticism on unit root econometrics
Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
Estimating Regression Models of Finite but Unknown Order
Order selection in nonstationary autoregressive models

Cited In (5)

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

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