The determination of the order of an autoregression

Keywords

Autoregressive model, Law of the iterated logarithm, Bayesian vector autoregression, Order (exchange), Econometrics

References

• Selection of the order of an autoregressive model by Akaike's information criterionRitei Shibata — 1976
• Modeling By Shortest Data Description*J. Rissanen — 1978
• The asymptotic theory of linear time-series modelsE. J. Hannan — 1973
• Some recent advances in time series modelingEmanuel Parzen — 1974
• Estimating the Dimension of a ModelGideon Schwarz — 1978
• Rates of convergence for time series regressionE. J. Hannan — 1978
• Multiple time seriesE. J. Hannan — 1970
• An Iterated Logarithm Result for Autocorrelations of a Stationary Linear ProcessC. C. Heyde — 1974
• Fitting autoregressive models for predictionHirotugu Akaike — 1969
• Invariance Principles for the Law of the Iterated Logarithm for Martingales and Processes with Stationary IncrementsC. C. Heyde, David John Scott — 1973

Cited by

• On the Estimation of Residual Variance and Order in Autoregressive Time SeriesJostein Paulsen, Dag Tjøstheim — 1985
• Model-Building Approach in Multiple Binary Logit Model for Coronary Heart DiseaseZainodin Hj. Jubok, G. Khuneswari — 2010
• Long Term Prediction of Traffic FlowH. Kawashima — 1987
• Common Markets Measuring Price Integration in European Agricultural MarketsCrina Viju, James C. Nolan, William A. Kerr — 2006
• Improving the performance of model-order selection criteria by partial-model selection searchWeaam Alkhaldi, D. Robert Iskander, Abdelhak M. Zoubir — 2010
• Time-varying MVAR algorithms for directed connectivity analysis: Critical comparison in simulations and benchmark EEG dataMattia F. Pagnotta, Gijs Plomp — 2018
• Credit, investment and economic cycles in the caribbeanAnthony Birchwood, Shelton Nicholls — 1999
• On Multivariate Time Series Model Selection Involving Many Candidate VAR ModelsXindong Zhao, Guoqi Qian — 2014
• Modelling nonlinear economic time seriesTimo Teräsvirta, Dag Tjøstheim, Clive W. J. Granger — 2010
• AN ASYMPTOTICALLY OPTIMAL SELECTION OF THE ORDER OF A LINEAR PROCESSSangyeol Lee, Alex Karagrigoriou — 2001
• MARKOV MODELS FOR LONGITUDINAL COURSE OF YOUTH BIPOLAR DISORDERAdriana López López — 2008
• Causality Between School Education and Economic Growth in RomaniaDaniela-Emanuela Dănăcică — 2011
• Contributions to the analysis of discrete-valued time seriesIsabel Maria Marques da Silva — 2005
• Order selection for linear time series models: a reviewR. J. Bhansali — 1993
• Semi-Nonparametric Modeling and Estimation ∗Herman J. Bierens — 2009
• Computational subset model selection algorithms and applicationsXinli Bao, Hamparsum Bozdogan — 2004
• Some remarks on causality detection by autoregressive modellingPeter Kügler — 1982
• Joint selection of the model and its information base in a heteroscedastic context: An application to the Spanish stock market.Laura Muñoz, Pilar Olave, Marta Salvador — 2002
• Distinguishing forms of statistical density dependence and independence in animal time series data using information criteriaMark M Hooten — 1995
• O MECANISMO DE TRANSMISSO DA TAXA DE CMBIO PARA NDICES DE PREOS: UMA ANLISE VECM PARA O BRASILOsmani Teixeira de Carvalho Guillén, Carlos Hamilton Vasconcelos Araújo — 2005

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