Nonparametric Lag Selection for Time Series

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Nonparametric Lag Selection for Time Series

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R. Tschernig
L. Yang

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 1997-59.

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Handle: RePEc:wop:humbsf:1997-59

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Cees Diks & Sebastiano Manzan, 2001. "Tests for Serial Independence and Linearity based on Correlation Integrals," Tinbergen Institute Discussion Papers 01-085/1, Tinbergen Institute. [Downloadable!]
Other versions:
- Diks, C.G.H. & Manzan, S., 2001. "Tests for serial independence and linearity based on correlation integrals," CeNDEF Working Papers 01-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Rolf Tschernig & Lijian Yang, 2000. "Nonparametric Estimation of Generalized Impulse Response Functions," Econometric Society World Congress 2000 Contributed Papers 1417, Econometric Society. [Downloadable!]
Other versions:
- R. Tschernig & L. Yang, . "Nonparametric Estimation of Generalized Impulse Response Function," Sonderforschungsbereich 373 2000-89, Humboldt Universitaet Berlin.
Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR). [Downloadable!]
Other versions:
- Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Blackwell Publishing, vol. 21(1), pages 143-173, 02. [Downloadable!] (restricted)
Wolfgang Härdle & Torsten Kleinow & Rolf Tschernig, 2001. "Web Quantlets for Time Series Analysis," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 179-188, March. [Downloadable!] (restricted)
Other versions:
- W. Härdle & T. Kleinow & R. Tschernig, . "Web quantlets for time series analysis," Sonderforschungsbereich 373 2000-1, Humboldt Universitaet Berlin.
R. Tschernig, . "Nonlinearities in German Unemployment Rates: A Nonparametric Analysis," Sonderforschungsbereich 373 1996-45, Humboldt Universitaet Berlin.
Manzan, S., 2002. "Model Selection for Nonlinear Time Series," CeNDEF Working Papers 02-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
W. H"Ardle & L. Yang, . "Nonparametric Time Series Model Selection," Sonderforschungsbereich 373 1996-53, Humboldt Universitaet Berlin.
Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002. "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussÃ£o 461, Department of Economics PUC-Rio (Brazil). [Downloadable!]
Other versions:
- Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002. "Building neural network models for time series: A statistical approach," Working Paper Series in Economics and Finance 508, Stockholm School of Economics. [Downloadable!]
- Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006. "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 49-75. [Downloadable!]
W. Härdle & R. Tschernig, . "Flexible Time Series Analysis," Sonderforschungsbereich 373 2000-51, Humboldt Universitaet Berlin.
Liangjun Su & Halbert White, 2003. "A Consistent Characteristic-Fuction-Based Test for Conditional Independence," University of California at San Diego, Economics Working Paper Series 2003-11, Department of Economics, UC San Diego. [Downloadable!]
Other versions:
- Su, Liangjun & White, Halbert, 2007. "A consistent characteristic function-based test for conditional independence," Journal of Econometrics, Elsevier, vol. 141(2), pages 807-834, December. [Downloadable!] (restricted)

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