Variable selection in generalized random coefficient autoregressive models
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Cites work
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
- A large-sample model selection criterion based on Kullback's symmetric divergence
- A new look at the statistical model identification
- Asymptotic optimal inference for a class of nonlinear time series models
- Bayesian Measures of Model Complexity and Fit
- Coefficient constancy test in generalized random coefficient autoregressive model
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
- Empirical likelihood
- Empirical likelihood and general estimating equations
- Empirical likelihood ratio confidence intervals for a single functional
- Estimating Regression Models of Finite but Unknown Order
- Estimating the dimension of a model
- Generalized empirical likelihood-based model selection criteria for moment condition models
- Model selection under nonstationarity: Autoregressive models and stochastic linear regression models
- Order selection in nonstationary autoregressive models
- Parameter estimation for generalized random coefficient autoregressive processes
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Random coefficient autoregressive models: an introduction
- Regression and time series model selection in small samples
- Simplicity, Inference and Modelling
- Some Comments on C P
- Statistical inference for generalized random coefficient autoregressive model
- The local asymptotic normality of a class of generalized random coefficient autoregressive processes
- β-mixing and moment properties of RCA models with application to GARCH(p,q)
Cited in
(9)- Automated variable selection in vector multiplicative error models
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
- Specific-to-general predictor selection in approximate autoregressions -- Monte Carlo evidence and a large scale performance assessment with real data
- Empirical likelihood based variable selection
- Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables
- Random autoregressive models: a structured overview
- Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
- Generalized information criterion for the AR model
- Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference
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