On determination of the order of an autoregressive model

Z. D. Bai, K. Subramanyam and L. C. Zhao

Journal of Multivariate Analysis, 1988, vol. 27, issue 1, 40-52

Abstract: To determine the order of an autoregressive model, a new method based on information theoretic criterion is proposed. This method is shown to be strongly consistent and the convergence rate of the probability of wrong determination is established.

Keywords: autoregressive; model; convergence; rate; strong; consistency; time; series (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (2)

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