The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes

Journal of Statistical Computation and Simulation

Volumn 62, Issue 3, 1999, Pages 207-235

  Koreisha, Sergio G ^a   Pukkila, Tarmo ^b  

^a UNIVERSITY OF OREGON   (United States)

^b Sosiaali ja terveysministerio   (Finland)

Author keywords

Autoregressions; Grangercausality; Order determination criteria; Parameter constraints

Indexed keywords

EID: 0033241815     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949659908811933     Document Type: Article

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