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TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION

โœ Scribed by Pentti Saikkonen; Ritva Luukkonen


Book ID
111039837
Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
907 KB
Volume
17
Category
Article
ISSN
0143-9782

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We propose a consistent criterion for model order selection in the model identification phase of time series and regression, based on a weighted average of an asymptotically efficient selection criterion, AICC (bias-corrected Akaike information criterion) and a consistent selection criterion, BIC (A