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Consistent order selection with strongly dependent data and its application to efficient estimation

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  • Hidalgo, Javier

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  • Hidalgo, Javier, 2002. "Consistent order selection with strongly dependent data and its application to efficient estimation," Journal of Econometrics, Elsevier, vol. 110(2), pages 213-239, October.
    • Handle: RePEc:eee:econom:v:110:y:2002:i:2:p:213-239
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    References listed on IDEAS

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    1. Javier Hidalgo & Peter M Robinson, 1997. "Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)," STICERD - Econometrics Paper Series 318, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
    3. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606, October.
    4. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590, October.
    5. Javier Hidalgo, 2000. "Nonparametric Test for Causality with Long-Range Dependence," Econometrica, Econometric Society, vol. 68(6), pages 1465-1490, November.
    6. Hidalgo, Javier, 2000. "Nonparametric test for causality with long-range dependence," LSE Research Online Documents on Economics 6866, London School of Economics and Political Science, LSE Library.
    7. Xiaobao Wang, 1993. "An Aic Type Estimator For The Number Of Cosinusoids," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(4), pages 433-440, July.
    8. Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(2), pages 163-185, June.
    9. Javier Hidalgo & Peter M. Robinson, 2002. "Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory," Econometrica, Econometric Society, vol. 70(4), pages 1545-1581, July.
    10. L. Kavalieris & E. J. Hannan, 1994. "Determining The Number Of Terms In A Trigonometric Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(6), pages 613-625, November.
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    Cited by:

    1. Larry W. Taylor, 2009. "Penalized‐R2 Criteria For Model Selection," Manchester School, University of Manchester, vol. 77(6), pages 699-717, December.
    2. Richard T. Baillie & George Kapetanios, 2006. "Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates," Working Papers 570, Queen Mary University of London, School of Economics and Finance.
    3. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
    4. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, vol. 147(1), pages 60-71, November.

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