Order determination in general vector autoregressions

By Bent Nielsen. 2001

110 citations recorded by the source corpus.

In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary. It is shown that these methods can be used regardless of the assumption to the characteristic roots.

Subfields: Analytical Chemistry, Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/83d2a9eda44d60ba0028a5cc245032bfef5dffaf

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Analytical Chemistry

1. Søren Johansen
2. Abdulnasser Hatemi-J
3. R. Scott Hacker

In Control and Systems Engineering

1. Søren Johansen
2. Abdulnasser Hatemi-J
3. R. Scott Hacker
4. Bent Nielsen

In Statistics and Probability

1. R. Scott Hacker
2. Søren Johansen
3. Bent Nielsen
4. Abdulnasser Hatemi-J
5. Morten Ørregaard Nielsen
6. David F. Hendry
7. F. Pretis
8. James G. MacKinnon

Citations in the corpus

• Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models (2016, methodology): “, & Nielsen, B. (2016). Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models.”
• Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH (2008, background): “Nielsen 11 show that the consistency results for SBC and HQC hold regardless of the assumption about the characteristic roots in the VAR model.”