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Abstract

'A modified Hannan-Rissanen strategy for mixed autoregressive-moving average order determination'. Dr B. M. Pötscher has pointed out that there is a lacuna in the proof of Theorem 2 presented in this paper in the sense that it relies upon a previously unsubstantiated statement, namely that σ2(p.p)(.)is monotonically nonincreasing in p. In actual fact the quantities σ2(p.p)(.) are strictly decreasing in p for p < max (po, qo). A formal proof of this heuristically appealing result, which is by no means trivial, is given by Pötscher (1990), and, thereby, the conclusions of this paper are rigorously restored.

Original languageEnglish
Number of pages1
JournalBiometrika
Volume77
Issue number3
DOIs
Publication statusPublished - 1 Sep 1990

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