1994
Model selection in periodic autoregressions
Publication
Publication
Oxford Bulletin of Economics and Statistics p. 421- 439
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.
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hdl.handle.net/1765/2082 | |
Oxford Bulletin of Economics and Statistics | |
Organisation | Erasmus School of Economics |
Franses, P. H., & Paap, R. (1994). Model selection in periodic autoregressions. Oxford Bulletin of Economics and Statistics, 421–439. Retrieved from http://hdl.handle.net/1765/2082 |