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Asymptotically efficient order selection in nonstationary AR processes

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  • Alex Karagrigoriou

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  • Alex Karagrigoriou, 2000. "Asymptotically efficient order selection in nonstationary AR processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 9(2), pages 371-391, December.
    • Handle: RePEc:spr:testjl:v:9:y:2000:i:2:p:371-391
    DOI: 10.1007/BF02595741
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    References listed on IDEAS

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    1. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
    2. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
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