A modified hannan-rissanen strategy for mixed autoregressive-moving average order determination

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Abstract

A modification to the model selection strategy for mixed autoregressive-moving average order determination suggested by Hannan & Rissanen (1982) is proposed. The modification is designed to eliminate the bias discussed by Hannan & Kavalieris (1984) and involves the use of an alternative model selection criterion. Asymptotic properties of the modified procedure are established and some simulation evidence on the finite sample performance is provided.

Original languageEnglish
Pages (from-to)781-790
Number of pages10
JournalBiometrika
Volume74
Issue number4
DOIs
Publication statusPublished - 1 Dec 1987
Externally publishedYes

Keywords

  • Autoregressive-moving average
  • Bias
  • Consistency
  • Model selection criterion
  • Order determination

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