Overview of model selection methods based on information criteria

Обзор методов выбора модели на основе информационных критериев

Skrobotov, Anton (Скроботов, Антон) ()
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Skrobotov, Anton (Скроботов, Антон): The Russian Presidential Academy of National Economy and Public Administration

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: This paper propose the review of the model selection approaches based on information criteria. Different types of non-stationary modelas with unit root, cointegration and non-stationary volatility are considered.

Keywords: unit root; information criteria; non-stationary volatility; seasonality (search for similar items in EconPapers)
Pages: 30 pages
Date: 2020-03
New Economics Papers: this item is included in nep-cis, nep-gen and nep-pbe
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:wpaper:032017

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