|
| << previous |
Journal description
All volumes of the corresponding journal
All issues of the corresponding volume
All articles of the corresponding issues
Details for article 20 of 20 found articles
| Title: |
Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models |
| Author: |
Koreisha, Sergio G. Pukkila, Tarmo |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 29 (2000) nr. 1 pages 259-293 |
| Year: |
2000 |
| Contents: |
We present a simplified form of a univariate identification approach for time series models based on the residual white noise autoregressive order determination criterion and linear estimation methods. We also show how the procedure can be used to identify the degree of differencing necessary to induce stationarity in data. The performance of this approach is also contrasted with Portmanteau tests for detection of white noise residuals and with Dickey-Fuller and Bayesian procedures for detection of unit roots. Simulated and economic data are used to demonstrate the capabilities of the modified approach. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 20 of 20 found articles
| << previous |