Incorporating lag order selection uncertainty in parameter inference for AR models

Economics Letters

Volumn 72, Issue 2, 2001, Pages 137-144

  Kapetanios, George ^a  

^a NATIONAL INSTITUTE OF ECONOMIC AND SOCIAL RESEARCH   (United Kingdom)

Author keywords

Autoregressive models; C22; C44; C52; Information criteria; Lag order selection

Indexed keywords

EID: 0035642972     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(01)00433-5     Document Type: Article

References (10)

1. Akaike H. Information theory and an extension of the maximum likelihood principle. 2nd International Symposium on Information Theory. 1973;267-281.
2. Burnham K.P., Anderson D.R. Model Selection and Inference. 1998;Springer-Verlag.
3. Hannan E.J., Quinn B.G. The determination of the order of an autoregression. Journal of the Royal Statistical Society (Series B). 41:1979;190-195.
4. Harvey A.C. Time Series Models. 1993;Harvester and Wheatsheaf.
5. Hurvich C.M., Tsai C.L. Regression and time series model selection in small samples. Biometrika. 76:1989;297-307.
6. Lehmann E.L. Theory of Point Estimation. 1983;Wiley.
7. Magnus J.R., Neudecker H. Matrix Differential Calculus with Applications to Statistics and Econometrics. 1988;John Wiley and Sons, New York.
8. Pötscher B.M. Effects of model selection on inference. Econometric Theory. 7:1991;163-185.
9. Schwarz, G., 1978. Estimating the dimension of a model. Annals of Statistics, 461-464.
10. Shibata R. Selection of the order of an autoregressive model by Akaike's information criterion. Biometrika. 63:(1):1976;117-126.