IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v11y1990i2p165-179.html
   My bibliography  Save this article

Estimation Of Autoregressive Moving‐Average Order Given An Infinite Number Of Models And Approximation Of Spectral Densities

Author

Listed:
  • B. M. Pötscher

Abstract

. A modification of the minimum Akaike information criterion (AIC) procedure (and of related procedures like the Bayesian information criterion (BIC)) for order estimation in autoregressive moving‐average (ARMA) models is introduced. This procedure has the advantage that consistency for the order estimators obtained via this procedure can be established without restricting attention to only a finite number of models. The behaviour of these newly introduced order estimators is also analysed for the case when the data‐generating process is not an ARMA process (transfer function/spectral density approximation). Furthermore, the behaviour of the order estimators obtained via minimization of BIC (or of related criteria) is investigated for a non‐ARMA data‐generating process.

Suggested Citation

  • B. M. Pötscher, 1990. "Estimation Of Autoregressive Moving‐Average Order Given An Infinite Number Of Models And Approximation Of Spectral Densities," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(2), pages 165-179, March.
    • Handle: RePEc:bla:jtsera:v:11:y:1990:i:2:p:165-179
    DOI: 10.1111/j.1467-9892.1990.tb00049.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1990.tb00049.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1990.tb00049.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nankervis, John C. & Savin, N. E., 2010. "Testing for Serial Correlation: Generalized Andrews–Ploberger Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 246-255.
    2. Donald W.K. Andrews & Liu, Xuemei Liu & Werner Ploberger, 1996. "Tests of Seasonal and Non-Seasonal Serial Correlation," Cowles Foundation Discussion Papers 1124, Cowles Foundation for Research in Economics, Yale University.
    3. Jesús Gonzalo & Jean‐Yves Pitarakis, 2002. "Lag length estimation in large dimensional systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 401-423, July.
    4. Dierk Herzer & Stephan Klasen & Felicitas Nowak-Lehmann D., 2006. "In search of FDI-led growth in developing countries," Ibero America Institute for Econ. Research (IAI) Discussion Papers 150, Ibero-America Institute for Economic Research.
    5. Alonso Fernández, Andrés Modesto & Peña, Daniel & Romo, Juan, 2001. "Introducing model uncertainty in time series bootstrap," DES - Working Papers. Statistics and Econometrics. WS ws011409, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Galeano, Pedro & Peña, Daniel, 2004. "Model selection criteria and quadratic discrimination in ARMA and SETAR time series models," DES - Working Papers. Statistics and Econometrics. WS ws041406, Universidad Carlos III de Madrid. Departamento de Estadística.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:11:y:1990:i:2:p:165-179. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.