Using instrumental variables for selecting the order of arma models

References

• Abraham , B. and Ledolter , J. 1984 . A Note on Inverse Autocorrelations . Biometrika , 71 : 609 – 614 .
   Web of Science ®Google Scholar
• Akaike , H. 1974 . A New look at the Statistical model Identification . IEEE Trans. on Aut. Control , 19 : 716 – 723 .
   Web of Science ®Google Scholar
• Akaike , H. 1983 . Statistical Inference and Measuremetn of Entropy . Scientific Inference, Data Analysis and Robustness , 19 : 165 – 186 .
   Google Scholar
• Anderson , O. D . 1981 . Covariance Stucture of Sampled Correlations from ARUMA Models . Time Series Analysis , 19 : 3 – 12 .
   Google Scholar
• Anderson , T. W . 1971 . The Statistical Analysis of Time Series , New York : Wiley, Inc .
   Google Scholar
• Anderson , T. W . 1984 . An Introduction to Multivariate Statistical Analysis , New York : Wiley, Inc .
   Google Scholar
• Beguin , J.M. , Gourieroux , C. and Monfort , A. 1980 . Identification of a Mixed Autoregressive-Moving Average Process: The Corner Method . Time Series Analysis , : 423 – 436 .
   Google Scholar
• Box , G.E.P. and Jenkins , G.W. 1976 . Time Series Analysis: Forecasting and Control , San Francisco : Holden-Day .
   Google Scholar
• Broemeling , L.D. and Shaarawy , S. 1986 . A Bayesian Analysis of Time Series . Bayesian Inference and Decision Techniques, with Applications: Essays in Honor of Bruno de Finetti , : 337 – 354 .
   Google Scholar
• Chatfield , C. 1979 . Inverse Autocorrelations . J. R. Statist. Soc , 142 : 363 – 377 .
   Google Scholar
• Chow , J. 1972 . On Estimating the Order of an Autoregressive-Moving Average Process with Uncertain Observations . IEEE Trans. on Aut. Control , 17 : 707 – 709 .
   Web of Science ®Google Scholar
• Chow , G.C. 1983 . Econometrics , New York : McGraw-Hill Co .
   Google Scholar
• Cleveland , W.S. 1972 . The Inverse Autocorrelations of a Time Series and Their Applications . Technometrics , 14 : 277 – 293 .
   Web of Science ®Google Scholar
• Davies , N. and Petruccelli , J.D. 1984 . On the Use of the General Partial Autocorrelation Function for Order Determination in ARMA (p,q) Processes . Journal of American Statistics Association , 79
   Web of Science ®Google Scholar
• DeGooijer , J.G. and Heuts , R.M.J. 1981 . The Corner Method: An Investigation of an Order Discrimination Procedure for General ARMA Processes . J. Operational Research Soc , 32 : 1039 – 1046 .
   Web of Science ®Google Scholar
• Doob , J.L. 1953 . Stochastic Processes , New York : Wiley, Inc .
   Google Scholar
• Glasbey , C.A. 1982 . A Generalization of Partial Autocorrelations Useful in Identifying ARMA Models . Technometrics , 24
   Web of Science ®Google Scholar
• Godolphin , E.J. 1984 . A Direct Representation for the Large-Sample Maximum Liklihood Estimator of a Gaussian Autoregressive-Moving Average Process . Biometrika , 71 : 281 – 289 .
   Web of Science ®Google Scholar
• Granger , C.W.J. and Newbold , P. 1977 . Forecasting Economic Time Series , New York : Academic Press .
   Google Scholar
• Gray , H.L. , Kelley , G.D. and McIntire , D.D. 1978 . A New Approach to ARMA Modeling . Commun. Statist. Ser. B. Simul. Comput , : 1 – 77 .
   Web of Science ®Google Scholar
• Hannan , E.J. 1970 . Multiple Time Series , New York : Wiley, Inc .
   Google Scholar
• Hannan , E.J. 1980 . The Estimation of the Order of an ARMA Process . Annals of Statistics , 41 : 190 – 195 .
   Google Scholar
• Hannan , E.J. and Quinn , B.G. 1979 . The Determination of the Order of an Autoregression . J. R. Statist. Soc , 41 : 190 – 195 .
   Google Scholar
• Hannan , E.J. and Rissanen , J. 1982 . Recursive Estimation of Mixed Autoregressive Moving Average Order . Biometrika , 69 : 81 – 94 .
   Web of Science ®Google Scholar
• Hannan , E.J. and Kavalieris , L. 1983 . Linear Estimation of ARMA Processes . Biometrika , 19 : 447 – 448 .
   Google Scholar
• Hannan , E.J. and Kavalieris , L. 1984 . A Method for Autoregressive-Moving Average Estimation . Biometrika , 72 : 273 – 280 .
   Google Scholar
• Intriligator , M.D. 1978 . Econometric Models, Techniques, and Applications , Englewood Cliffs : Prentice-Hall, Inc .
   Google Scholar
• Iohvidov , I.S. 1982 . Hankel and Toeplitz Matrices and Forms: Algebraic Theory , Massachusetts : Birkhauser Co .
   Google Scholar
• Iserman , R. and Bauer , U. 1974 . Two Step Process Identification With Correlation Analysis and Least-Squares Parameter Estimation . J. Dynamic Systems, Measurement, and Control , 96 : 425 – 432 .
   Google Scholar
• Jeon , T.J. and Park , S.J. 1986 . Automatic Model Identification Using Vector Sample Autocorrelation Function . Commun. Statist. Series B, Simulations and Comput , 96 : 1147 – 1161 .
   Web of Science ®Google Scholar
• Kanto , A.J. 1984 . A Characterization of the Inverse Autocorrelation Function . Commun. Statist. - Theor. Meth , 13 : 2503 – 2510 .
   Web of Science ®Google Scholar
• Lindberger , N.A. 1973 . Comments on Estimating the Orders of an Autoregressive-Moving Average Process With Uncertain Observations . IEEE Trans. on Aut. Control , 18 : 689 – 691 .
   Web of Science ®Google Scholar
• Mayne , D.Q. and Firoozan , F. 1982 . Linear Identification of ARMA Processes . Automatica , 18 : 461 – 466 .
   Web of Science ®Google Scholar
• Nering , E.D. 1970 . Linear Algebra and Matrix Theory , New York : John Wiley and Sons .
   Google Scholar
• Parzen , E. 1974 . Some Recent Advances in Time Series Modeling . IEEE Trans on Aut. Control , 19 : 723 – 730 .
   Web of Science ®Google Scholar
• Petruccelli , J.D. and Davies , N. 1984 . Some Restrictions on the Use of Corner Method Hypothesis Tests . Commun. Statist. Theor. Meth , 13 : 543 – 552 .
   Web of Science ®Google Scholar
• Ray , W.D. 1982 . Comments on the Corner Method: An Investigation and A Reply . Journal Operational Research Soc , 32 : 767 – 768 .
   Google Scholar
• Rezayat , F. and Anandalingam , G. 1987 . Selection of the Order of ARMA Models Using Distribution Free-Tests: A Small Sample Technique
   Google Scholar
• Sargan , J.D. 1958 . The Estimation of Economic Relationships Using Instrumental Variables . Econometrics , 26 : 393 – 415 .
   Web of Science ®Google Scholar
• Shibata , R. 1976 . Selection of the Order of an Autoregressive Model by Akaike's Information Criterion . Biometrika , 63 : 117 – 126 .
   Web of Science ®Google Scholar
• Spall , J.C. 1988 . Bayesian Analysis of Time Series and Dynamic Models , New York : Marcel Dekker .
   Google Scholar
• Szidarovszky , F. and Yakowitz , S. 1978 . Principles and Procedures of Numerical Analysis , New York : Plenum Press .
   Google Scholar
• Tsay , R.S. and Tiao , G.C. 1984 . Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models . Journal of American Statist. Assoc , 79 : 83 – 96 .
   Google Scholar
• Tuan , P.D. 1985 . A Note on Some Statistics Useful in Identifying the Order of Autoregressive-Moving Average Models . Journal of Time Series Analysis , 5 : 273 – 279 .
   Google Scholar
• UnBehauen , H. and Gohring , B. 1974 . Tests for Determining Model Order in Parameter Estimation . Automatica , 10 : 233 – 244 .
   Web of Science ®Google Scholar
• Van Den Boom , A.J.W. and Van Den Enden , A.W.M. 1974 . The Determination of the Orders of Process and Noise Dynamics . Automatica , 10 : 245 – 255 .
   Web of Science ®Google Scholar
• Wellstead , P.E. 1978 . An Instrumental Product Moment Test for Model Order Estimation . Automatica , 14 : 89 – 91 .
   Web of Science ®Google Scholar
• Woodside , C.M. 1971 . Estimation of the Order of Linear Systems . Automatica , 7 : 727 – 733 .
   Web of Science ®Google Scholar
• Woodward , W.A. and Gray , H.L. 1981 . On the Relationship Between the S-Array and the Box-Jenkins Method of ARMA Model Identification . Journal of American Statist. Assoc , 76 : 579 – 583 .
   Web of Science ®Google Scholar