Order selection in nonstationary autoregressive models

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Cited in

(47)

On a criterion for the selection of models for stationary time series
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
On the underfitting and overfitting sets of models chosen by order selection criteria.
Numerical distribution functions for seasonal unit root tests
Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
Consistent order selection with strongly dependent data and its application to efficient estimation.
Information criteria for selecting possibly misspecified parametric models
Consistent order selection for ARFIMA processes
Consistent model selection criteria and goodness-of-fit test for common time series models
Order selection for possibly infinite-order non-stationary time series
Order selection statistical test for nonstationary AR models
An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification
Consistent order selection for noncausal autoregressive models via higher-order statistics
An asymptotically optimal selection of the order of a linear process
Generalized information criterion
ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS
ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH
Semiparametric cointegrating rank selection
SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
scientific article; zbMATH DE number 48227 (Why is no real title available?)
On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS
scientific article; zbMATH DE number 1069583 (Why is no real title available?)
Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model
scientific article; zbMATH DE number 4115784 (Why is no real title available?)
Bayesian Identification of Seasonal Autoregressive Models
Order Choice in Nonlinear Autoregressive Models
Bayesian classification with multivariate autoregressive sources that might have different orders
Lag length selection for unit root tests in the presence of nonstationary volatility
Sequential model selection method for nonparametric autoregression
Bayesian identification of seasonal multivariate autoregressive processes
Tuning parameter selection for the adaptive LASSO in the autoregressive model
Model selection in the presence of nonstationarity
A strongly consistent criterion to decide between I(1) and I(0) processes based on different convergence rates
Order selection criteria for vector autoregressive models
On asymptotic risk of selecting models for possibly nonstationary time-series
Asymptotically efficient order selection in nonstationary AR processes
Incorporating lag order selection uncertainty in parameter inference for AR models
Order selection for heteroscedastic autoregression: a study on concentration
On consistency for time series model selection
Model selection for unit-root time series with many predictors
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
Model selection for integrated autoregressive processes of infinite order
Variable selection in generalized random coefficient autoregressive models
Estimation of parameters in ARUMA models

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