We develop a $C_{p}$ statistic for the selection of regression models with stationary and nonstationary ARIMA error term. We derive the asymptotic theory of the maximum likelihood estimators and show they are consistent and asymptotically Gaussian. We also prove that the distribution of the sum...

We develop a Cp statistic for the selection of regression models with stationary and nonstationary ARIMA error term. We derive the asymptotic theory of the maximum likelihood estimators and show they are consistent and asymptotically Gaussian. We also prove that the distribution of the sum of...

The motivation for this paper is to determine the potential economic value of advanced modelling methods for devising trading decision tools for 10-year Government bonds. Two advanced methods are used: time-varying parameter models with the implementation of state space modelling using a Kalman...