COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS

Journal of Time Series Analysis

Volumn 6, Issue 1, 1985, Pages 35-52

  Lütkepohl, Helmut ^a  

^a UNIVERSITY OF OSNABRÜCK   (Germany)

Author keywords

AR order determination; Autoregressive process; Model selection criteria; Sequential testing

Indexed keywords

EID: 84984431826     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1985.tb00396.x     Document Type: Article

References (25)

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9. Some Properties of the Order of an Autoregressive Model Selection by a Generalization of Akaike's EPF Criterion
10. A Comparison of the Information and Posterior Probability Criteria for Model Selection
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13. Some Recent Advances in Time Series Modeling
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21. Bayes Factors and Choice Criteria for Linear Models
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