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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations
Organization Unit
  • Ronald Butler
  • Marc Paolella
Item Subtype Original Work
Refereed Yes
Status Published in final form
  • English
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.
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Related URLs
Digital Object Identifier 10.3390/econometrics5030043
Other Identification Number merlin-id:15387
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