The Selection of ARIMA Models with or without Regressors
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- Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012. "The Selection of ARIMA Models with or without Regressors," CREATES Research Papers 2012-46, Department of Economics and Business Economics, Aarhus University.
References listed on IDEAS
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More about this item
KeywordsAIC; ARMA models; bias correction; BIC; Cp plot; generalized RIC; Kalman filter; Kullback-Leibler distance; state-space formulation;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-06 (All new papers)
- NEP-ETS-2012-12-06 (Econometric Time Series)
- NEP-FOR-2012-12-06 (Forecasting)
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