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Évaluation de critères d’information pour les modèles de séries chronologiques

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  • Galbraith, John W.

    (Department of Economics)

  • Zinde-Walsh, Victoria

    (Department of Economics)

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  • Galbraith, John W. & Zinde-Walsh, Victoria, 2004. "Évaluation de critères d’information pour les modèles de séries chronologiques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 207-227, Juin-Sept.
    • Handle: RePEc:ris:actuec:v:80:y:2004:i:2:p:207-227
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    1. 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.
    2. Anne B. Koehler & Emily S. Murphree, 1988. "A Comparison of the Akaike and Schwarz Criteria for Selecting Model Order," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 37(2), pages 187-195, June.
    3. D. R. Anderson & K. P. Burnham & G. C. White, 1998. "Comparison of Akaike information criterion and consistent Akaike information criterion for model selection and statistical inference from capture-recapture studies," Journal of Applied Statistics, Taylor & Francis Journals, vol. 25(2), pages 263-282.
    4. Geweke, John F & Meese, Richard, 1981. "Estimating Regression Models of Finite but Unknown Order," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 55-70, February.
    5. Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225.
    6. Zinde-Walsh, Victoria, 1990. "The consequences of misspecification in time series processes," Economics Letters, Elsevier, vol. 32(3), pages 237-241, March.
    7. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    8. Gilles Ducharme, 1997. "Consistent selection of the actual model in regression analysis," Journal of Applied Statistics, Taylor & Francis Journals, vol. 24(5), pages 549-558.
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