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A model selection approach to detect seasonal unit roots

Kawasaki, Yoshinori; Franses, Philip Hans - 1996

The popular "airline" model for a seasonal time series assumes that a variable needsdouble differencing, i.e. first and seasonal (or annual) differencing.The resultant time series can usually be described by a low order movingaverage model with estimated roots close to the unit circle. This...

Persistent link: https://www.econbiz.de/10010232142

An asymptotic analysis of likelihood-based diffusion model selection using high frequency data

Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557

Persistent link: https://www.econbiz.de/10010256867

Forecasting ICT development through quantile confidence intervals

Huarng, Kun-Huang; Yu, Tiffany Hui-Kuang - In: Journal of business research : JBR 68 (2015) 11, pp. 2295-2298

Persistent link: https://www.econbiz.de/10011389356

Determining the number of breaks in large dimensional factor models with structural changes

Wang, Lu; Zhou, Ruichao; Wu, Jianhong - In: Economics letters 199 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10012605871

Estimation of large dimensional factor models with an unknown number of breaks

Ma, Shujie; Su, Liangjun - In: Journal of econometrics 207 (2018) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012116087

On time-varying factor models : estimation and testing

Su, Liangjun; Wang, Xia - In: Journal of econometrics 198 (2017) 1, pp. 84-101

Persistent link: https://www.econbiz.de/10011818370

Group fused Lasso for large factor models with multiple structural breaks

Ma, Chenchen; Tu, Yundong - In: Journal of econometrics 233 (2023) 1, pp. 132-154

Persistent link: https://www.econbiz.de/10014340971

Model selection in time series analysis : using information criteria as an alternative to hypothesis testing

Hacker, R. Scott; Hatemi-J, Abdulnasser - In: Journal of economic studies 49 (2022) 6, pp. 1055-1075

Persistent link: https://www.econbiz.de/10013352921

Inference of grouped time-varying network vector autoregression models

Li, Degui; Peng, Bin; Tang, Songqiao; Wu, Weibiao - 2023

Persistent link: https://www.econbiz.de/10014316406

Beta autoregressive moving average model selection with application to modeling and forecasting stored hydroelectric energy

Cribari-Neto, Francisco; Scher, Vinícius T.; Bayer, … - In: International journal of forecasting 39 (2023) 1, pp. 98-109

Persistent link: https://www.econbiz.de/10014462770

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