Nonparametric Lag Selection for Time Series

By Rolf Tschernig, Lijian Yang. 2000

85 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9b5649faf244351b21f9ead05bf57289dddc76a3

How researchers see this paper

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

In Economics and Econometrics

1. Timo Teräsvirta
2. Jianhua Z. Huang
3. Liangjun Su
4. Halbert White
5. Gianluigi Rech
6. Lijian Yang
7. Rolf Tschernig
8. Haipeng Shen

In Finance

1. Jianhua Z. Huang
2. Timo Teräsvirta
3. Halbert White
4. Lijian Yang
5. Liangjun Su
6. Gianluigi Rech
7. Rolf Tschernig
8. Haipeng Shen

Citations in the corpus

• A Consistent Characteristic-Function-Based Test for Conditional Independence (2003, background): “See Auestad and Tjostheim (1990), Cheng and Tong (1992), Tjostheim and Auestad (1994), Tschernig and Yang (2000), Finkenstädt et al. (2001), Lobato (2003), among others.”
• A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS (2001, methodology): “(9) show that both criteria are consistent if the nonlinear process is stationary and -mixing and if some regularity conditions hold.”
• Identification of non‐linear additive autoregressive models (2004, methodology): “Stronger conditions involving β-mixing coefficients have been used in Yao and Tong (1994), Tjøstheim and Auestad (1994a) and Tschernig and Yang (2000) to show consistency of a certain lag selection criterion.”
• Functional Coefficient Regression Models for Non‐linear Time Series: A Polynomial Spline Approach (2004, background): “In addition to the references mentioned above, we list Truong & Stone (1992), Truong (1994), Tjøstheim & Auestad (1994), Yang et al. (1999), Cai & Masry (2000) and Tschernig & Yang (2000), to name just a few.”