PRELIMINARY TEST ESTIMATION FOR THE 2ND-ORDER AUTOREGRESSION

被引：0

作者：

BOHRER, R

KUNJUNG, L

YANCEY, TA

机构：

[1] UNIV ILLINOIS,DEPT STAT,CHAMPAIGN,IL 61820

[2] UNIV ILLINOIS,DEPT ECON,CHAMPAIGN,IL 61820

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1992年 / 21卷 / 10期

关键词：

PRELIMINARY TEST; AUTOREGRESSIVE MODEL; ASYMPTOTIC SQUARED ERROR RISK; MONTE-CARLO;

D O I：

10.1080/03610929208830944

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Consequences of preliminary test model identification procedures in time series analysis are examined in the context of a squared error risk function. Asymptotic risk comparisons and Monte Carlo studies are used in comparing these procedures.

引用

页码：2797 / 2807

页数：11

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