An efficient branch-and-bound strategy for subset vector autoregressive model selection

DOI10.1016/J.JEDC.2007.08.001zbMATH Open1181.62131OpenAlexW2085654879MaRDI QIDQ844693FDOQ844693

Authors: Cristian Gatu, Manfred Gilli, Peter Winker, Erricos J. Kontoghiorghes 

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.08.001

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zbMATH Keywords

model selectionvector autoregressive modelbranch-and-bound algorithms

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57)

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Cited In (8)

• Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process
• Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance
• Order selection criteria for vector autoregressive models
• Covariate unit root tests with good size and power
• Subset selection for vector autoregressive processes via adaptive Lasso
• Boosting nonlinear additive autoregressive time series
• Efficient strategies for deriving the subset VAR models
• A graph approach to generate all possible regression submodels

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