Inference and model selection in general causal time series with exogenous covariates-Reference-Cited by-同舟云学术

Inference and model selection in general causal time series with exogenous covariates

Published:2022-01-01 Issue:1 Volume:16 Page:
ISSN:1935-7524
Container-title:Electronic Journal of Statistics
language:
Short-container-title:Electron. J. Statist.

Author:

Diop Mamadou Lamine¹,Kengne William¹

Affiliation:

1. THEMA, CY Cergy Paris Université, 33 Boulevard du Port, 95011 Cergy-Pontoise Cedex, France

Publisher

Institute of Mathematical Statistics

Subject

Statistics and Probability,Statistics, Probability and Uncertainty

Reference31 articles.

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2. Bardet, J.-M. and Wintenberger, O. Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes. The Annals of Statistics 37, 5B, (2009), 2730-2759.

3. Bardet, J.-M., Kamila, K. and Kengne, W. Consistent model selection criteria and goodness-of-fit test for common time series models. Electron. J. Stat. 14, (2020), 2009-2052.

4. Bierens, H. J. Topics in advanced econometrics: estimation, testing, and specification of cross-section and time series models. Cambridge University Press, (1996).

5. Deistler, M. The properties of the parameterization of ARMAX systems and their relevance for structural estimation and dynamic specification. Econometrica: Journal of the Econometric Society, (1983), 1187-1207.

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