Consistent order selection with strongly dependent data and its application to efficient estimation

Journal of Econometrics

Volumn 110, Issue 2, 2002, Pages 213-239

  Hidalgo, Javier ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Distributed lag models; Order selection; Strong dependence

Indexed keywords

MATHEMATICAL MODELS; MONTE CARLO METHODS; PARAMETER ESTIMATION; REGRESSION ANALYSIS; THEOREM PROVING;

DISTRIBUTED LAG MODELS; ORDER SELECTION;

STATISTICAL TESTS;

EID: 0346724446     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00094-5     Document Type: Conference Paper

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