Model Selection in Periodic Autoregressions.

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 1994
Volume: 56
Issue: 4
Pages: 421-39

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this paper, the authors analyze a model selection strategy for periodic autoregressive time-series processes. It involves autoregressive order selection and tests for unit roots at the (non-)seasonal frequencies. The strategy is evaluated using Monte Carlo replications and it is applied to several quarterly U.K. macroeconomic time series. Copyright 1994 by Blackwell Publishing Ltd

Technical Details

RePEc Handle
repec:bla:obuest:v:56:y:1994:i:4:p:421-39
Journal Field
General
Author Count
2
Added to Database
2026-01-25