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Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes

Rahman Khan, Md. Atikur; Poskitt, Donald Stephen - 2011

In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the...

Persistent link: https://www.econbiz.de/10009406242

On the theory and practice of singular spectrum analysis forecasting

Khan, M. Atikur Rahman; Poskitt, Donald Stephen - 2014

Persistent link: https://www.econbiz.de/10010245250

A note on autoregressive modeling

Poskitt, Donald Stephen - In: Econometric theory 10 (1994) 5, pp. 884-899

Persistent link: https://www.econbiz.de/10001175053

Strongly consistent determination of cointegrating rank via canonical correlations

Poskitt, Donald Stephen - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 77-90

Persistent link: https://www.econbiz.de/10001441609

Consistent estimation of the number of cointegration relations in a vector autoregressive model

Lütkepohl, Helmut - In: Econometrics in theory and practice : Festschrift for …, (pp. 87-100). 1998

Persistent link: https://www.econbiz.de/10001301453

Testing for causation using infinite order vector autoregressive processes

Lütkepohl, Helmut - In: Econometric theory 12 (1996) 1, pp. 61-87

Persistent link: https://www.econbiz.de/10001201817

Specification of echelon-form VARMA models

Lütkepohl, Helmut - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 1, pp. 69-79

Persistent link: https://www.econbiz.de/10001203177

Recursive estimation of autoregressions

Hannan, Edward J. - In: Journal of the Royal Statistical Society 51 (1989) 2, pp. 217-233

Persistent link: https://www.econbiz.de/10001065587

A method for the estimation and identification of transfer function model

Poskitt, Donald Stephen - In: Journal of the Royal Statistical Society 51 (1989) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10001094908

Assessing instrumental variable relevance : an alternative measure and some exact finite sample theory

Poskitt, Donald Stephen; Skeels, Christopher L. - 2002

Persistent link: https://www.econbiz.de/10001722318

A service of the