Header

UZH-Logo

Maintenance Infos

Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations


Butler, Ronald W; Paolella, Marc S (2017). Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations. Econometrics, 5(3):43.

Abstract

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.

Abstract

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.

Statistics

Citations

Dimensions.ai Metrics
2 citations in Web of Science®
2 citations in Scopus®
Google Scholar™

Altmetrics

Downloads

49 downloads since deposited on 22 Nov 2017
10 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Economics and Econometrics
Language:English
Date:19 September 2017
Deposited On:22 Nov 2017 14:02
Last Modified:26 Jan 2022 14:13
Publisher:MDPI Publishing
ISSN:2225-1146
OA Status:Gold
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.3390/econometrics5030043
Related URLs:http://www.mdpi.com/2225-1146/5/3/43/htm (Publisher)
Other Identification Number:merlin-id:15387

Download

Gold Open Access

Download PDF  'Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations'.
Preview
Content: Published Version
Filetype: PDF
Size: 489kB
View at publisher
Licence: Creative Commons: Attribution 4.0 International (CC BY 4.0)