Order selection in nonstationary autoregressive models

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Cited in

(43)

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

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