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.

Additional Metadata
Keywords autoregression, economic models, economics (methodology), macroeconomics, mathematical models, regression analysis, utility theory (mathematical models)
Persistent URL hdl.handle.net/1765/2082
Journal Oxford Bulletin of Economics and Statistics
Citation
Franses, Ph.H.B.F, & Paap, R. (1994). Model selection in periodic autoregressions. Oxford Bulletin of Economics and Statistics, 421–439. Retrieved from http://hdl.handle.net/1765/2082