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Type | Journal Article |
Scope | Discipline-based scholarship |
Title | Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations |
Organization Unit | |
Authors |
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Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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Journal Title | Econometrics |
Publisher | MDPI Publishing |
Geographical Reach | international |
ISSN | 2225-1146 |
Volume | 5 |
Number | 3 |
Page Range | 43 |
Date | 2017 |
Abstract Text | A new method for determining the lag order of the autoregressive polynomial in regression models with autocorrelated normal disturbances is proposed. It is based on a sequential testing procedure using conditional saddlepoint approximations and permits the desire for parsimony to be explicitly incorporated, unlike penalty-based model selection methods. Extensive simulation results indicate that the new method is usually competitive with, and often better than, common model selection methods. |
Free access at | DOI |
Related URLs |
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Digital Object Identifier | 10.3390/econometrics5030043 |
Other Identification Number | merlin-id:15387 |
PDF File | Download from ZORA |
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