Model selection in periodic autoregressions
January 1994
Article
pp 421-439.
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This paper focuses on the issue of period autoagressive time series models (PAR) selection in practice. One aspect of model selection is the choice for the appropriate PAR order. This can be of interest for the valuation of economic models. Further, the appropriate PAR order is important for an adequate empirical application of tests for unit roots since too many parameters affect the performance of such tests. In fact, another aspect of PAR model selection is the decision on the number of unit roots. Finally, in case of unit roots, model choice involves a decision on the most suitable differencing filter to ensure stationarity of the transformed series.
Keywords
- regression analysis
- economic models
- autoregression
- macroeconomics
- economics (methodology)
- mathematical models
- utility theory (mathematical models)
Automatically Extracted Terms
- 0.0
- model
- order
- process
- unit roots
- unit root
- series
- selection
- f test
- parameter
- table
- f type test
- autoregression
- hypothesis
- trend
- time series
- sample size
- result
- 1994.
- model selection strategy
