DETERMINING THE ORDER OF A VECTOR AUTOREGRESSION WHEN THE NUMBER OF COMPONENT SERIES IS LARGE

Journal of Time Series Analysis

Volumn 14, Issue 1, 1993, Pages 47-69

  Koreisha, Sergio G ^a   Pukkila, Tarmo ^a  

^a UNIVERSITY OF OREGON   (United States)

Author keywords

Identification; linear estimation; order determination criteria; VAR modeling

Indexed keywords

EID: 0001968268     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1993.tb00129.x     Document Type: Article

References (20)

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