Évaluation de critères d’information pour les modèles de séries chronologiques
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References listed on IDEAS
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- 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.
- Geweke, John & Meese, Richard, 1981.
"Estimating regression models of finite but unknown order,"
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Elsevier, vol. 16(1), pages 162-162, May.
- 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.
- 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.
- Zinde-Walsh, Victoria, 1990. "The consequences of misspecification in time series processes," Economics Letters, Elsevier, vol. 32(3), pages 237-241, March.
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