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On The Choice Of The Order Of Autoregressive Models: A Ranking And Selection Approach

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  • Quang Phuc Duong

Abstract

. The problem of estimating the order of autoregressive models is considered from the point of view of ranking and selection procedures. This approach offers a formulation to many problems more realistic than that of classical hypothesis testing or of criteria based on estimation theory (e.g., AIC). In the method considered here, sampling variations are taken into account and the experimenter is also allowed to incorporate any a priori knowledge of the true order (e.g., lower bound as well as upper bound).

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  • Quang Phuc Duong, 1984. "On The Choice Of The Order Of Autoregressive Models: A Ranking And Selection Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(3), pages 145-157, May.
    • Handle: RePEc:bla:jtsera:v:5:y:1984:i:3:p:145-157
    DOI: 10.1111/j.1467-9892.1984.tb00383.x
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    Cited by:

    1. Claude Deniau & Georges Fiori & Alexandre Mathis, 1992. "Sélection du nombre de retards dans un modèle VAR : conséquences éventuelles du choix des critères," Économie et Prévision, Programme National Persée, vol. 106(5), pages 61-69.
    2. repec:jss:jstsof:28:i02 is not listed on IDEAS

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