A model selection procedure for time series with seasonality
January 1993
Article
pp 253-258.
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In this paper a model selection test procedure for seasonal time series is proposed. It uses the estimated autocorrelations of the moving average part of the Box and Jenkins airline model. This ensures that the test statistics asymptotically follow standard normal distributions. The merits and limitations of the procedure are illustrated via simulations as well as by some empirical series.
Automatically Extracted Terms
- model
- series
- time series
- test statistics
- airline model
- procedure
- statistic
- airline
- selection
- autocorrelation
- process
- value
- testing
- result
- hypothesis
- 1. oo
- time series models
- model selection procedure
- distribution
- unit roots
