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Summary Summary. The regression literature contains hundreds of studies on serially correlated disturbances. Most of these studies assume that the structure of the error covariance matrix Ω is known or can be estimated consistently from data. Surprisingly, few studies investigate the properties of estimated generalized least squares (GLS) procedures when the structure of Ω is incorrectly identified and the parameters are inefficiently estimated. We compare the finite sample…

ARIMA 模型识别中不同定阶准则的比较AI 解读

The small-sample performance of several order-determination criteria for identification of ARIMA models is compared using simulated and economic data. The authors also demonstrate how the residual white-noise autoregressive order-determination criterion can be used to identify unit roots in nonstationary data.