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THE RECURSIVE FITTING OF SUBSET VARX MODELS
Author(s) -
Penm Jack H. W.,
Penm Jammie H.,
Terrell R. D.
Publication year - 1993
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1993.tb00169.x
Subject(s) - autoregressive model , mathematics , series (stratigraphy) , selection (genetic algorithm) , order (exchange) , mathematical optimization , algorithm , statistics , computer science , artificial intelligence , paleontology , finance , economics , biology
. A vector time series model of the form A(L)y(t) + B(L)x(t) =ε(t) is known as a vector autoregressive model with exogenous variables (VARX model) and involves a regressand vector y(t) and a regressor vector x(t). This paper provides a method for the recursive fitting of subset VARX models. It suggests the use of ascending recursions in conjunction with an order selection criterion to choose an ‘optimum’ subset VARX model.