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A Note on the Selection of Time Series Models

Citations

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Cited by:

  1. Konstantin Gluschenko, 2021. "Spatial pattern of Russia’s market integration," Spatial Economic Analysis, Taylor & Francis Journals, vol. 16(4), pages 449-470, October.
  2. Zacharias Psaradakis & Marián Vávra, 2019. "Portmanteau tests for linearity of stationary time series," Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 248-262, February.
  3. Sobieralski, Joseph B., 2013. "The optimal aviation gasoline tax for U.S. general aviation," Transport Policy, Elsevier, vol. 29(C), pages 186-191.
  4. Chang, Yoosoon, 2004. "Bootstrap unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 120(2), pages 263-293, June.
  5. Tiia P¸ss & Mare Viies & Reet Maldre, 2007. "Convergence Analysis of the Structure of Tax Revenue and Tax Burden in EU," Working Papers 166, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
  6. Psaradakis, Zacharias & Vávra, Marián, 2014. "On testing for nonlinearity in multivariate time series," Economics Letters, Elsevier, vol. 125(1), pages 1-4.
  7. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
  8. Fossati, Sebastian, 2012. "Covariate unit root tests with good size and power," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3070-3079.
  9. Olivier Coibion, 2012. "Are the Effects of Monetary Policy Shocks Big or Small?," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(2), pages 1-32, April.
  10. Brand, Claus & Reimers, Hans-Eggert & Seitz, Franz, 2003. "Forecasting real GDP: what role for narrow money?," Working Paper Series 254, European Central Bank.
  11. Giuseppe Cavaliere & Peter C. B. Phillips & Stephan Smeekes & A. M. Robert Taylor, 2015. "Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 512-536, April.
  12. Kim, Dukpa & Oka, Tatsushi & Estrada, Francisco & Perron, Pierre, 2020. "Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures," Journal of Econometrics, Elsevier, vol. 214(1), pages 130-152.
  13. Kreiter, Zebulun & Paul, Tapas Kumar, 2010. "Deficit Financing and Inflation in Bangladesh: A Vector Autoregressive Analysis," MPRA Paper 45981, University Library of Munich, Germany.
  14. Nikolaos Antonakakis & Harald Badinger, 2012. "Output Volatility, Economic Growth, and Cross-Country Spillovers: New Evidence for the G7 Countries," FIW Working Paper series 098, FIW.
  15. Juraj Hucek & Alexander Karsay & Marian Vavra, 2015. "Short-term Forecasting of Real GDP Using Monthly Data," Working and Discussion Papers OP 1/2015, Research Department, National Bank of Slovakia.
  16. Gluschenko, Konstantin, 2011. "Price convergence and market integration in Russia," Regional Science and Urban Economics, Elsevier, vol. 41(2), pages 160-172, March.
  17. Qu, Zhongjun & Perron, Pierre, 2007. "A Modified Information Criterion For Cointegration Tests Based On A Var Approximation," Econometric Theory, Cambridge University Press, vol. 23(4), pages 638-685, August.
  18. Barbier de la Serre, A. & Frappa, S. & Montornès, J. & Murez, M., 2008. "La transmission des taux de marché aux taux bancaires : une estimation sur données individuelles françaises," Working papers 194, Banque de France.
  19. Gluschenko, Konstantin, 2018. "Market of the Novosibirsk Oblast in the System of Regional Markets," MPRA Paper 83649, University Library of Munich, Germany.
  20. Dukpa Kim & Tatsushi Oka & Francisco Estrada & Pierre Perron, 2017. "Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures," Boston University - Department of Economics - Working Papers Series WP2017-003, Boston University - Department of Economics.
  21. Marian Vavra, 2013. "Testing for linear and Markov switching DSGE models," Working and Discussion Papers WP 3/2013, Research Department, National Bank of Slovakia.
  22. Gluschenko, Konstantin, 2017. "The Moscow market in the country’s economic space," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 48, pages 5-21.
  23. Harris, David & Kew, Hsein & Taylor, A.M. Robert, 2020. "Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem," Journal of Econometrics, Elsevier, vol. 219(2), pages 354-388.
  24. Donovan, Geoffrey H. & Prestemon, Jeffrey P. & Butry, David T. & Kaminski, Abigail R. & Monleon, Vicente J., 2021. "The politics of urban trees: Tree planting is associated with gentrification in Portland, Oregon," Forest Policy and Economics, Elsevier, vol. 124(C).
  25. K. P. Gluschenko, 2023. "Regional Inequality in Russia: Anatomy of Convergence," Regional Research of Russia, Springer, vol. 13(1), pages 1-12, December.
  26. German-Soto, Vicente & Gluschenko, Konstantin, 2021. "Long-Run Cross-State Growth Comparison in Mexico," MPRA Paper 109015, University Library of Munich, Germany.
  27. Claus Brand & Hans-Eggert Reimers & Franz Seitz, 2003. "Narrow Money and the Business Cycle: Theoretical aspects and euro area evdence," Macroeconomics 0303012, University Library of Munich, Germany.
  28. Diaz-Emparanza, Ignacio, 2014. "Numerical distribution functions for seasonal unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 237-247.
  29. Vicente German‐Soto & Konstantin Gluschenko, 2023. "Long‐term regional convergence in Mexico: A new look," Review of Development Economics, Wiley Blackwell, vol. 27(2), pages 963-991, May.
  30. Ricardo Quineche Uribe & Gabriel Rodríguez, 2015. "Data-Dependent Methods for the Lag Length Selection in Unit Root Tests with Structural Change," Documentos de Trabajo / Working Papers 2015-404, Departamento de Economía - Pontificia Universidad Católica del Perú.
  31. Balsalobre-Lorente, Daniel & Driha, Oana M. & Bekun, Festus & Sinha, Avik & Fatai Adedoyin, Festus, 2020. "Consequences of COVID-19 on the social isolation of the Chinese economy: accounting for the role of reduction in carbon emissions," MPRA Paper 102894, University Library of Munich, Germany, revised 2020.
  32. Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J.F., 2008. "Macroeconomic forecasting with matched principal components," International Journal of Forecasting, Elsevier, vol. 24(1), pages 87-100.
  33. Ng, Serena, 2013. "Variable Selection in Predictive Regressions," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 752-789, Elsevier.
  34. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
  35. Zhang, Wanqing & Lin, Zi & Liu, Xiaolei, 2022. "Short-term offshore wind power forecasting - A hybrid model based on Discrete Wavelet Transform (DWT), Seasonal Autoregressive Integrated Moving Average (SARIMA), and deep-learning-based Long Short-Te," Renewable Energy, Elsevier, vol. 185(C), pages 611-628.
  36. Ricardo Quineche & Gabriel Rodríguez, 2017. "Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations," Econometrics, MDPI, vol. 5(2), pages 1-10, April.
  37. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  38. Marian Vavra, 2012. "Robustness of Power Properties of Non-linearity Tests," Birkbeck Working Papers in Economics and Finance 1205, Birkbeck, Department of Economics, Mathematics & Statistics.
  39. Peter S. Sephton, 2022. "Finite Sample Lag Adjusted Critical Values of the ADF-GLS Test," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 177-183, January.
  40. Peter Sephton, 2009. "Critical values for the augmented efficient Wald test for fractional unit roots," Empirical Economics, Springer, vol. 37(3), pages 615-626, December.
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