Article ID Journal Published Year Pages File Type
5060516 Economics Letters 2011 4 Pages PDF
Abstract
►A nonparametric lag selection method for additive autoregressive models is proposed. ►The final prediction error (FPE) criterion is modified for additive models. ►Conditions for the consistency of the lag selection procedure are provided. ►Simulation shows that the new method performs well compared to the unrestricted FPE.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Nonparametric lag selection for nonlinear additive autoregressive models
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