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Order selection in nonstationary autoregressive models. (English) Zbl 0554.62075

In E. J. Hannan [ibid. 8, 1071-1081 (1980; Zbl 0451.62068)], some limiting properties of the order selection criteria, AIC, BIC, and \(\Phi\) (p,q) for modeling stationary time series were derived. In this paper, we generalize these properties to the case in which the underlying process follows a nonstationary autoregressive model. We show that BIC and \(\Phi\) (p,0) are weakly consistent. For the AIC, we prove that the asymptotic distribution given by R. Shibata [Biometrika 63, 117-126 (1976; Zbl 0358.62048)] for the stationary autoregressive models continues to hold.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F15 Strong limit theorems
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