Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations
نویسندگان
چکیده
منابع مشابه
Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations
A new method for determining the lag order of the autoregressive polynomial in regression models with autocorrelated normal disturbances is proposed. It is based on a sequential testing procedure using conditional saddlepoint approximations and permits the desire for parsimony to be explicitly incorporated, unlike penalty-based model selection methods. Extensive simulation results indicate that...
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ژورنال
عنوان ژورنال: Econometrics
سال: 2017
ISSN: 2225-1146
DOI: 10.3390/econometrics5030043