Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors

DOI10.1111/j.1467-9876.2006.00535.xzbMath1490.62274MaRDI QIDQ5757824

Cathy W. S. Chen, Mike K. P. So, Feng-Chi Liu

Publication date: 7 September 2007

Published in: Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9876.2006.00535.x

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors, Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model, Bayesian subset selection for threshold autoregressive moving-average models, Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs, PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS

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