The implications of including autoregressive disturbances in linear logit models of demand systems are explored. It is argued that the normality assumption of the ...
Model Selection Under Nonstationarity: Autoregressive Models and Stochastic Linear Regression Models
We give sufficient conditions for strong consistency of estimators for the order of general nonstationary autoregressive models based on the minimization of an ...
Although recent articles have stressed the importance of testing for unit roots and cointegration in time-series analysis, practitioners have been left without a straightforward procedure to implement ...
There are also trade-offs in creativity. Because the energy critic favors low-energy (i.e., high-probability) text, the model ...
The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
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