Baillie, Richard T.; Kapetanios, George; Papailias, Fotis - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 116-131
The problem of model selection of a univariate long memory time series is investigated once a semi parametric estimator for the long memory parameter has been used. Standard information criteria are not consistent in this case. A Modified Information Criterion (MIC) that overcomes these...