A note on the selection of time series models

Oxford Bulletin of Economics and Statistics

Volumn 67, Issue 1, 2005, Pages 115-134

  Ng, Serena ^a   Perron, Pierre ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b Boston University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 13444273377     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0084.2005.00113.x     Document Type: Review

References (13)

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3. Diebold, F. X. (1997). Elements of Forecasting, South Western Publishing, Cincinatti, OH.
4. Enders, W. (1995). Applied Econometric Time Series, Wiley, NewYork, NY.
5. Eviews (1997). User's Guide, QMS Software, Irvine, CA.
6. Hayashi, F. (2000). Econometrics, Princeton Unversity Press, Princeton, NJ.
7. Hendry, D. F. and Krolzig, H. M. (2002). 'The properties of automatic Gets modelling', Unpublished Manuscript, Oxford University, Oxford.
8. Judge, G., Griffiths, W., Hill, R. and Lee, T. (1980). The Theory and Practice of Econometrics, John Wiley and Sons, New York, NY.
9. Lutkepohl, H. (1993). Introduction to Multiple Time Series, Springer Verlag, Berlin.
10. p', Technometrics, vol. 15, pp. 661-675.
11. Priestley, M. B. (1981). Spectral Analysis and Time Series, vol. 1, Academic Press, NewYork, NY.
12. Schwarz, G. (1978). 'Estimating the dimension of a model', The Annals of Statistics, vol. 6, pp. 461-464.
13. Shibata, R. (1980). 'Asymptotic efficient selection of the order of the model for estimating parameters of a linear process', Annals of Statistics, vol. 8, pp. 147-164.