DocumentCode
1322377
Title
Order identification of ARMA models based on instrumental variable estimators
Author
Hall, Alastair
Author_Institution
Dept. of Econ. & Bus., North Carolina State Univ., Raleigh, NC, USA
Volume
36
Issue
9
fYear
1991
fDate
9/1/1991 12:00:00 AM
Firstpage
1116
Lastpage
1117
Abstract
The author proposes a simple model selection procedure based on IV estimators, which can be viewed as an extension of P. Stoica´s method (1981). The model selection procedure is based on a simple statistic with a known limiting distribution. It closely parallels the overfitting strategy applied to models estimated by nonlinear least squares
Keywords
parameter estimation; statistical analysis; time series; ARMA models; instrumental variable estimators; model selection; nonlinear least squares; overfitting strategy; parameter estimation; statistical analysis; time series; Autocorrelation; Autoregressive processes; Equations; Inspection; Instruments; Least squares approximation; Parameter estimation; Statistical distributions; Testing; Time series analysis;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.83552
Filename
83552
Link To Document