So, Mike K. P.; Chen, Cathy W. S.; Liu, Feng-Chi - In: Journal of the Royal Statistical Society Series C 55 (2006) 2, pp. 201-224
We develop an efficient way to select the best subset autoregressive model with exogenous variables and generalized autoregressive conditional heteroscedasticity errors. One main feature of our method is to select important autoregressive and exogenous variables, and at the same time to estimate...
