Partial autocorrelation parameterization for subset autoregression

A new version of the partial autocorrelation plot and a new family of subset autoregressive models are introduced. A comprehensive approach to model identification, estimation and diagnostic checking is developed for these models. These models are better suited to efficient model building of high-order autoregressions with long time series. Several illustrative examples are given. Copyright 2006 The Authors Journal compilation 2006 Blackwell Publishing Ltd.