A Note on the Selection of Time Series Models
By Serena Ng, Pierre Perron. 2005
117 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/fb906374ebab6727227c48a3764e3be264fffab4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Serena Ng
- Jushan Bai
- Mark W. Watson
- James H. Stock
- Sydney C. Ludvigson
- Markus Pelger
- A. Onatski
- Laurent Callot
In Statistics and Probability
- Serena Ng
- Jushan Bai
- Muhammad Shahbaz
- Alan M. Taylor
- Mark W. Watson
- Giuseppe Cavaliere
- James H. Stock
- S. Leybourne
Citations in the corpus
- Model Selection in the Presence of Incidental Parameters (2015, unknown): “, Ng and Perron (2005)).”
- Variable Selection in Predictive Regressions (2013, methodology): “Practical issues in using information criteria are discussed in Ng and Perron (2005).”