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ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS
Author(s) -
Hall Alastair
Publication year - 1994
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.1467-9892.1994.tb00193.x
Subject(s) - autoregressive model , akaike information criterion , mathematics , star model , setar , series (stratigraphy) , nonlinear autoregressive exogenous model , econometrics , autoregressive integrated moving average , statistics , time series , paleontology , biology
. In this paper we examine the properties of Akaike's (Fitting autoregressive models for prediction, Ann. Inst. Statist. Math. 21 (1969), 243–47) and Hannan and Quinn's (The determination of the order of an autoregression, J. R. Statist. Soc., Ser. B 41 (1979), 190–95) information criteria in stationary autoregressive time series models when the true order of the process is greater than the maximum considered by the analyst. The limiting distributions of the estimated orders are derived and the implications of these results for model building are considered.