Model selection for integrated autoregressive processes of infinite order

We show that Akaike’s Information Criterion (AIC) and its variants are asymptotically efficient in integrated autoregressive processes of infinite order (AR(∞)). This result, together with its stationary counterpart established previously in the literature, ensures that AIC can ultimately achieve prediction efficiency in an AR(∞) process, without knowing the integration order.

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Year of publication:	2012
Authors:	Ing, Ching-Kang ; Sin, Chor-yiu ; Yu, Shu-Hui
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 106.2012, C, p. 57-71
Publisher:	Elsevier
Subject:	Asymptotic efficiency \| Integrated AR(∞) processes \| Model selection \| Mean squared prediction error

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011042035