Selection of weak VARMA models by modified Akaike's information criteria
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References listed on IDEAS
- Christian Francq & Hamdi Raïssi, 2007. "Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 454-470, May.
- Boubacar Mainassara, Yacouba, 2009. "Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 18990, University Library of Munich, Germany.
- Francq, Christian & Zako an, Jean-Michel, 2000. "Estimating Weak Garch Representations," Econometric Theory, Cambridge University Press, vol. 16(05), pages 692-728, October.
- Francq, Christian & Roy, Roch & Zakoian, Jean-Michel, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 532-544, June.
- Francq, Christian & Zakoïan, Jean-Michel, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 114-144, January.
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More about this item
KeywordsAIC; discrepancy; identification; Kullback-Leibler information; model selection; QMLE; order selection; weak VARMA models.;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-16 (All new papers)
- NEP-ECM-2010-10-16 (Econometrics)
- NEP-ETS-2010-10-16 (Econometric Time Series)
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