Download or read book Consistent Estimation and Order Selection for Nonstationary Autoregressive Processes with Stable Innovations written by Peter Burridge and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A possibly nonstationary autoregressive process, of unknown finite order, with possibly infinite-variance innovations is studied. The ordinary least squares autoregressive parameter estimates are shown to be consistent, and their rate of convergence, which depends on the index of stability, is established. We also establish consistency of lag-order selection criteria in the nonstationary case. A small experiment illustrates the relative performance of different lag-length selection criteria in finite samples.
Download or read book Almost All About Unit Roots written by In Choi and published by Cambridge University Press. This book was released on 2015-05-12 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
Download or read book Maximum Likelihood Estimation for Nearly Non Stationary Stable Autoregressive Processes written by Rong-Mao Zhang and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Autoregressive Process Order Selection Via Model Critical Methods written by Albert S. Paulson and published by . This book was released on 1987 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: The selection of the order of an autoregressive process is examined via model-critical methods that allow for constructive criticism of the data and the (tentative) model, considered jointly as a single entity. These methods yield robust estimates of the model parameters and the innovations variance, which is used in the order-selection procedure which reduces as a special case to the modified Akaike-type procedure of Hannan and Quinn. The proposed procedure selects as the order of an autoregressive process the value of p that minimizes an information criterion PSIC(p, c) (which is a function of the model-critical parameter (c) which governs the extent to which data and model are to be internally consistent) the model-critical estimate of the innovations variance, and the sample size. In the presence of additive outliers in the data, the model-critical procedure is superior to the Akaike and Hannan-Quinn procedures, and the superiority increases with increasing levels of contamination. Keywords: Reprint. (KR).
Download or read book Consistent Autoregressive Spectral Estimation for Noise Corrupted Autoregressive Time Series written by D. G. Gingras and published by . This book was released on 1982 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: For the case when the observed series consists of the sum of an autoregressive process of known order and white noise the application of autoregressive spectral estimation methods may not be correct. The presence of the additive noise introduces zeros which are not adequately modeled by an autoregressive model. In this report an autoregressive spectral estimator for the noise-corrupted case is developed and shown to be consistent. The high-order Yule-Walker equations are used to estimate the autoregressive parameters from the noise-corrupted observations. A least squares estimate for the variance of the innovations sequence is also developed and shown to be consistent. These consistent estimates for the autoregressive parameters and the innovations variance are used to form the consistent autoregressive spectral estimates. (Author).
Download or read book Autoregressive Model Inference in Finite Samples written by Hans Einar Wensink and published by . This book was released on 1996 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1987 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation written by Javier S. Hidalgo and published by . This book was released on 2008 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Order selection based on criteria by Akaike (1974), AIC, Schwarz (1978), BIC or Hannan and Quinn (1979) HIC is often applied in empirical examples. They have been used in the context of order selection of weakly dependent ARMA models, AR models with unit or explosive roots and in the context of regression or distributed lag regression models for weakly dependent data. On the other hand, it has been observed that data exhibits the so-called strong dependence in many areas. Because of the interest in this type of data, our main objective in this paper is to examine order selection for a distributed lag regression model that covers in a unified form weak and strong dependence. To that end, and because of the possible adverse properties of the aforementioned criteria, we propose a criterion function based on the decomposition of the variance of the innovations of the model in terms of their frequency components. Assuming that the order of the model is finite, say po , we show that the proposed criterion consistently estimates, po. In addition, we show that adaptive estimation for the parameters of the model is possible without knowledge of po . Finally, a small Monte-Carlo experiment is included to illustrate the finite sample performance of the proposed criterion.
Download or read book Learning to Become Rational written by Markus Zenner and published by Springer. This book was released on 1996-07-12 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. 1 Rational Expectations and Learning to Become Rational A characteristic feature of dynamic economic models is that, if future states of the economy are uncertain, the expectations of agents mat ter. Producers have to decide today which amount of a good they will produce not knowing what demand will be tomorrow. Consumers have to decide what they spend for consumption today not knowing what prices will prevail tomorrow. Adopting the neo-classical point of view that economic agents are 'rational' in the sense that they behave in their own best interest given their expectations about future states of the ecomomy it is usually assumed that agents are Bayesian deci sion makers. But, as LUCAS points out, there remains an element of indeterminacy: Unfortunately, the general hypothesis that economic agents are Bayesian decision makers has, in many applications, lit tle empirical content: without some way of infering what an agent's subjective view of the future is, this hypothesis is of no help in understanding his behavior. Even psychotic behavior can be (and today, is) understood as "rational", given a sufficiently abnormal view of relevant probabili ties. To practice economics, we need some way (short of psychoanalysis, one hopes) of understanding which decision problem agents are solving. (LucAs (1977, p. 15)) 2 CHAPTER 1. INTRODUCTION 1. 1.
Download or read book Maximum Likelihood Estimation of Higher Order Integer Valued Autoregressive Processes written by Ruijun Bu and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we extend the earlier work of Freeland and McCabe [Journal of time Series Analysis (2004) Vol. 25, pp. 70-722] and develop a general framework for maximum likelihood (ML) analysis of higher-order integer-valued autoregressive processes. Our exposition includes the case where the innovation sequence has a Poisson distribution and the thinning is binomial. A recursive representation of the transition probability of the model is proposed. Based on this transition probability, we derive expressions for the score function and the Fisher information matrix, which form the basis for ML estimation and inference. Similar to the results in Freeland and McCabe (2004), we show that the score function and the Fisher information matrix can be neatly represented as conditional expectations. Using the INAR(2) specification with binomial thinning and Poisson innovations, we examine both the asymptotic efficiency and finite sample properties of the ML estimator in relation to the widely used conditional least squares (CLS) and YuleWalker (YW) estimators. We conclude that, if the Poisson assumption can be justified, there are substantial gains to be had from using ML especially when the thinning parameters are large.
Download or read book Parameter Estimation of Nearly Non stationary Autoregressive Processes written by Michiel J.L. de Hoon and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Download or read book Estimating and Testing the Parameters of a Generalization of the First Order Nonstationary Autoregressive Process written by Darryl Jon Downing and published by . This book was released on 1974 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 1852 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Parameter Estimation of Nearly Nonstationary Autoregressive Processes January Juni 1995 written by M. J. L. de Hoorn and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation and Inference in Autoregressive Models with Trending Innovation Variance written by Nikolaos Kourogenis and published by . This book was released on 2009 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops the asymptotic theory for stable autoregressive models in which the noise variance grows in a polynomial-like fashion. It is shown that the asymptotic distribution of the OLS estimator of the coefficient vector is multivariate normal with a covariance matrix that depends on the order, k, of the variance growth. A consistent estimator of k is proposed, which delivers heteroscedasticity-robust test statistics. The opposite case of quot;variance declinequot; is studied as well. It is demonstrated that by means of a simple data transformation producing the time reversed image of the original series, the problem of quot;variance decreasequot; can be reformulated in terms of that of polynomial-like variance growth. Simulation evidence suggests that the new procedures work quite well in small samples.
Download or read book Limiting Distributions of Maximum Probability Estimators of Nonstationary Autoregressive Processes written by Ka Pik Chau and published by . This book was released on 2002 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
