The weighted average information criterion for order selection in time series and regression models
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Helmut Lütkepohl, 1985. "Comparison Of Criteria For Estimating The Order Of A Vector Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(1), pages 35-52, January.
- Hu‐Ming Zhang & Ping Wang, 1994. "A New Way To Estimate Orders In Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 545-559, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Cribari-Neto, Francisco & Scher, Vinícius T. & Bayer, Fábio M., 2023. "Beta autoregressive moving average model selection with application to modeling and forecasting stored hydroelectric energy," International Journal of Forecasting, Elsevier, vol. 39(1), pages 98-109.
- Rinke Saskia & Sibbertsen Philipp, 2016.
"Information criteria for nonlinear time series models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 325-341, June.
- Rinke, Saskia & Sibbertsen, Philipp, 2015. "Information Criteria for Nonlinear Time Series Models," Hannover Economic Papers (HEP) dp-548, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Sharmishtha Mitra & Amit Mitra, 2014. "M-estimator-based robust estimation of the number of components of a superimposed sinusoidal signal model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(4), pages 853-878, April.
- K. S. Cujia & K. Herb & J. Zopes & J. M. Abendroth & C. L. Degen, 2022. "Parallel detection and spatial mapping of large nuclear spin clusters," Nature Communications, Nature, vol. 13(1), pages 1-10, December.
- David Magis & Francis Tuerlinckx & Paul De Boeck, 2015. "Detection of Differential Item Functioning Using the Lasso Approach," Journal of Educational and Behavioral Statistics, , vol. 40(2), pages 111-135, April.
- Rinke, Saskia, 2016. "The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity," Hannover Economic Papers (HEP) dp-575, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Issac Shams & Saeede Ajorlou & Kai Yang, 2015. "A predictive analytics approach to reducing 30-day avoidable readmissions among patients with heart failure, acute myocardial infarction, pneumonia, or COPD," Health Care Management Science, Springer, vol. 18(1), pages 19-34, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011.
"Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
- George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Monash Econometrics and Business Statistics Working Papers 2/09, Monash University, Department of Econometrics and Business Statistics.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 713, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 707, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- George Athanasopoulos & Osmani Teixeira de Carvalho Guillén & João Victor Issler & Farshid Vahid, 2010. "Model selection, Estimation and Forecasting in VAR Models with Short-run and Long-run Restrictions," Working Papers Series 205, Central Bank of Brazil, Research Department.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 688, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 704, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Carlos Medel, 2017.
"Forecasting Chilean inflation with the hybrid new keynesian Phillips curve: globalisation, combination, and accuracy,"
Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(3), pages 004-050, December.
- Carlos Medel, 2016. "Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy," Working Papers Central Bank of Chile 791, Central Bank of Chile.
- Medel, Carlos A., 2017. "Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy," MPRA Paper 78439, University Library of Munich, Germany.
- Trancoso, Tiago, 2014. "Emerging markets in the global economic network: Real(ly) decoupling?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 499-510.
- Dierk HERZER & Felicitas NOWAK‐LEHMANN D. & Boriss SILIVERSTOVS, 2006.
"Export‐Led Growth In Chile: Assessing The Role Of Export Composition In Productivity Growth,"
The Developing Economies, Institute of Developing Economies, vol. 44(3), pages 306-328, September.
- Dierk Herzer & Felicitas Nowak-Lehmann D. & Boriss Siliverstovs, 2004. "Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth," Ibero America Institute for Econ. Research (IAI) Discussion Papers 103, Ibero-America Institute for Economic Research.
- Nowak-Lehmann D., Felicitas & Herzer, Dierk & Siliverstovs, Boriss, 2005. "Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth," Proceedings of the German Development Economics Conference, Kiel 2005 20, Verein für Socialpolitik, Research Committee Development Economics.
- Carlos A. Medel, 2015.
"Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas,"
Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 30(1), pages 57-72, Abril.
- Medel, Carlos A., 2014. "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas [Classical Probability of Overfitting with Information Criteria: Estimations with ," MPRA Paper 57401, University Library of Munich, Germany.
- Carlos Medel, 2014. "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas," Working Papers Central Bank of Chile 735, Central Bank of Chile.
- Mahdi Barakchian, S., 2015. "Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis," Economic Modelling, Elsevier, vol. 46(C), pages 11-26.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020.
"Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Sýdýka Baþçý & Asad Zaman & Arzdar Kiracý, 2010.
"Variance Estimates and Model Selection,"
International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 57-72, September.
- Sidika Basci & Asad Zaman, 1998. "Variance Estimates and Model Selection," Working Papers 9814, Department of Economics, Bilkent University.
- Carmen M. Reinhart. & Vicent R. Reinhart, 1991.
"Fluctuaciones del producto y choques monetarios: evidencia colombiana,"
Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 10(20), pages 53-85, December.
- Carmen M. Reinhart. & Vicent R. Reinhart, 1991. "Fluctuaciones del producto y choques monetarios: evidencia colombiana," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 10(20), pages 53-85, December.
- Reinhart, Carmen & Reinhart, Vincent, 1991. "Fluctuaciones del producto y choques monetarios: evidencia colombiana [Output Fluctuations and Monetary Shocks: Evidence from Colombia]," MPRA Paper 13654, University Library of Munich, Germany.
- Faiza Manzoor & Longbao Wei & Muhammad Asif & Muhammad Zia ul Haq & Hafiz ur Rehman, 2019. "The Contribution of Sustainable Tourism to Economic Growth and Employment in Pakistan," IJERPH, MDPI, vol. 16(19), pages 1-14, October.
- Carlos A. Medel, 2013.
"How informative are in-sample information criteria to forecasting? The case of Chilean GDP,"
Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 50(1), pages 133-161, May.
- Medel, Carlos A., 2012. "How informative are in-sample information criteria to forecasting? the case of Chilean GDP," MPRA Paper 35949, University Library of Munich, Germany.
- Carlos Medel, 2012. "How Informative are In–Sample Information Criteria to Forecasting? The Case of Chilean GDP," Working Papers Central Bank of Chile 657, Central Bank of Chile.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 1998. "Specification via model selection in vector error correction models," Economics Letters, Elsevier, vol. 60(3), pages 321-328, September.
- López, Ramón & Sepúlveda, Kevin A., 2022. "The effects of domestic demand shocks on inflation in a small open economy: Chile in the period 2000–2021," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
- Daniel Fernández, 2011. "Suficiencia del capital y previsiones de la banca uruguaya por su exposición al sector industrial," Monetaria, CEMLA, vol. 0(4), pages 517-589, octubre-d.
- Goodwin, Barry K., 1992.
"Forecasting Cattle Prices In The Presence Of Structural Change,"
Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 24(2), pages 1-12, December.
- Goodwin, Barry K., 1992. "Forecasting Cattle Prices in the Presence of Structural Change," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 24(2), pages 11-22, December.
- Vedat Akgiray & Kursat Aydogan & G. Booth & John Hatem, 1989. "A causal analysis of black and official exchange rates: The turkish case," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 125(2), pages 337-345, June.
- Carlos A. Medel, 2018.
"Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach,"
International Economic Journal, Taylor & Francis Journals, vol. 32(3), pages 331-371, July.
- Medel, Carlos A., 2015. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," MPRA Paper 67081, University Library of Munich, Germany.
- Carlos Medel, 2016. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," Working Papers Central Bank of Chile 785, Central Bank of Chile.
- Ettore Gallo & Maria Cristina Barbieri Góes, 2023.
"Investment, autonomous demand and long-run capacity utilization: an empirical test for the Euro Area,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 40(1), pages 225-255, April.
- Ettore Gallo, 2019. "Investment, Autonomous Demand and Long Run Capacity Utilization: An Empirical Test for the Euro Area," Working Papers 1904, New School for Social Research, Department of Economics.
- Gallo, Ettore, 2019. "Investment, autonomous demand and long run capacity utilization: An empirical test for the Euro Area," IPE Working Papers 116/2019, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
- Jeff B. Cromwell & Michael J. Hannan, 1993. "The Utility of Impulse Response Functions in Regional Analysis: Some Critical Issues," International Regional Science Review, , vol. 15(2), pages 199-222, August.
- Ivanov Ventzislav & Kilian Lutz, 2005. "A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-36, March.
More about this item
Keywords
AIC AICC Asymptotic efficiency BIC Consistency Order selection SIC;Statistics
Access and download statisticsCorrections
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:eee:stapro:v:39:y:1998:i:1:p:1-10. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.