Incorporating lag order selection uncertainty in parameter inference for AR models

DOI10.1016/S0165-1765(01)00433-5zbMath1030.62068MaRDI QIDQ5941375

George Kapetanios

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Autoregressive modelsInformation criteriaLag order selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (4)

Can one estimate the conditional distribution of post-model-selection estimators? ⋮ MODEL SELECTION AND INFERENCE: FACTS AND FICTION ⋮ CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS? ⋮ A radial basis function artificial neural network test for neglected nonlinearity

Cites Work

• Estimating the dimension of a model
• Regression and time series model selection in small samples
• Selection of the order of an autoregressive model by Akaike's information criterion
• Comparison of Akaike information criterion and consistent Akaike information criterion for model selection and statistical inference from capture-recapture studies
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