Estimating the system order by subspace methods
This paper discusses how to determine the order of a state-space model. To do so, we start by revising existing approaches and find in them three basic shortcomings: i) some of them have a poor performance in short samples, ii) most of them are not robust and iii) none of them can accommodate seasonality. We tackle the first two issues by proposing new and refined criteria. The third issue is dealt with by decomposing the system into regular and seasonal sub-systems. The performance of all the procedures considered is analyzed through Monte Carlo simulations.
|Date of creation:||Jan 2007|
|Date of revision:|
|Contact details of provider:|| Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bujosa, Marcos & Garcia-Ferrer, Antonio & Young, Peter C., 2007. "Linear dynamic harmonic regression," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 999-1024, October.
- Bengtsson, Thomas & Cavanaugh, Joseph E., 2006. "An improved Akaike information criterion for state-space model selection," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2635-2654, June.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001.
"Lag Length Estimation in Large Dimensional Systems,"
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108002, EconWPA.
- Carl Eckart & Gale Young, 1936. "The approximation of one matrix by another of lower rank," Psychometrika, Springer;The Psychometric Society, vol. 1(3), pages 211-218, September.
- Bauer, Dietmar, 2005. "Estimating Linear Dynamical Systems Using Subspace Methods," Econometric Theory, Cambridge University Press, vol. 21(01), pages 181-211, February.
- Casals, Jose & Sotoca, Sonia & Jerez, Miguel, 1999. "A fast and stable method to compute the likelihood of time invariant state-space models," Economics Letters, Elsevier, vol. 65(3), pages 329-337, December.
When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:ws070301. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ana Poveda)
If references are entirely missing, you can add them using this form.