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ON q‐CONDITIONED PARTIAL CORRELATIONS

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  • P. Newbold
  • T. Bos

Abstract

. In attempting to develop a procedure for fitting linear multiple autoregressive‐moving average models to observed data, perhaps the most difficult problem is to achieve a reasonable initial model selection. A recent paper by Jenkins and Alavi suggests, as one possibility, the examination of so‐called q‐conditioned partial correlations. We show that the sampling properties of these statistics are such as to render them of dubious value for this purpose.

Suggested Citation

  • P. Newbold & T. Bos, 1983. "ON q‐CONDITIONED PARTIAL CORRELATIONS," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(1), pages 53-55, January.
    • Handle: RePEc:bla:jtsera:v:4:y:1983:i:1:p:53-55
    DOI: 10.1111/j.1467-9892.1983.tb00357.x
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