Incorporating lag order selection uncertainty in parameter inference for AR models
Parameter inference on autoregressive models is usually carried out conditionally on a previously selected lag order. In the majority of cases the lag order selection is carried out using information criteria and in particular the Akaike (1973), Schwarz (1978) or Hannan and Quin (1979) criteria. It is well known that the latter two criteria are consistent in lag order selection in the sense of of picking the true order of the system with probability one asymptotically. On the other hand, Akaike's criterion is known to overestimate the lag order in this sense. In this note we discuss the asymptotic distribution, of the parameter estimates without conditioning on the lag order selected.
|Date of creation:||May 2000|
|Contact details of provider:|| Postal: 2 Dean Trench Street Smith Square London SW1P 3HE|
Web page: http://niesr.ac.uk
When requesting a correction, please mention this item's handle: RePEc:nsr:niesrd:175. 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: (Library & Information Manager)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.