Model identification for infinite variance autoregressive processes

Journal of Econometrics

Volumn 172, Issue 2, 2013, Pages 222-234

  Andrews, Beth ^a   Davis, Richard A ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Akaike's information criterion; All pass models; Autoregressive processes; Infinite variance; Noncausal

Indexed keywords

COMMERCE; SAMPLING;

AKAIKE'S INFORMATION CRITERIONS; AUTO REGRESSIVE MODELS; AUTO REGRESSIVE PROCESS; AUTO-REGRESSIVE; AUTOREGRESSIVE TIME SERIES; COMPLEX PLANES; FINITE SAMPLES; INFINITE VARIANCES; MODEL IDENTIFICATION; NONCAUSAL; ORDER SELECTION; STOCK MARKET; TRADING VOLUMES; UNIT CIRCLES;

RANDOM PROCESSES;

EID: 84872010110     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.08.009     Document Type: Conference Paper

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