Institute of Mathematical Statistics Lecture Notes - Monograph Series

Order determination in general vector autoregressions

Bent Nielsen

Full-text: Open access

Abstract

In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests, a likelihood based information criterion, or a residual based test. The properties of such procedures has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary. While non-stationary situations have also been considered the results in the literature depend on conditions to the characteristic roots. It is here shown that these methods for lag length determination can be used regardless of the assumption to the characteristic roots and also in the presence of deterministic terms. The proofs are based on methods developed by C. Z. Wei in his joint work with T. L. Lai.

Chapter information

Source
Hwai-Chung Ho, Ching-Kang Ing, Tze Leung Lai, eds., Time Series and Related Topics: In Memory of Ching-Zong Wei (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2006), 93-112

Dates
First available in Project Euclid: 28 November 2007

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1196285968

Digital Object Identifier
doi:10.1214/074921706000000978

Mathematical Reviews number (MathSciNet)
MR2427841

Zentralblatt MATH identifier
1268.62116

Subjects
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 62F10: Point estimation

Keywords
autoregression lag length information criteria

Rights
Copyright © 2006, Institute of Mathematical Statistics

Citation

Nielsen, Bent. Order determination in general vector autoregressions. Time Series and Related Topics, 93--112, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2006. doi:10.1214/074921706000000978. https://projecteuclid.org/euclid.lnms/1196285968


Export citation