Develops conditions for consistent penalized quasi-likelihood model selection in affine causal processes, shows BIC inconsistency in some cases like AR(p) with ARCH errors, and adds a portmanteau goodness-of-fit test.
On the squared residual autocorrelations in non-linear time series with conditional heteroskedasticity.Journal of Time Series Analysis 15, 6 (1994), 627–636
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.ST 1years
2019 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Consistent model selection criteria and goodness-of-fit test for affine causal processes
Develops conditions for consistent penalized quasi-likelihood model selection in affine causal processes, shows BIC inconsistency in some cases like AR(p) with ARCH errors, and adds a portmanteau goodness-of-fit test.