THE RECURSIVE FITTING OF SUBSET VARX MODELS

Jack H. W. Penm, Jammie H. Penm and R. D. Terrell

Journal of Time Series Analysis, 1993, vol. 14, issue 6, 603-619

Abstract: Abstract. A vector time series model of the form A(L)y(t) + B(L)x(t) =ε(t) is known as a vector autoregressive model with exogenous variables (VARX model) and involves a regressand vector y(t) and a regressor vector x(t). This paper provides a method for the recursive fitting of subset VARX models. It suggests the use of ascending recursions in conjunction with an order selection criterion to choose an ‘optimum’ subset VARX model.

Date: 1993
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