Develops conditions for consistent penalized quasi-likelihood model selection in affine causal processes, shows BIC inconsistency in some cases like AR(p) with ARCH errors, and adds a portmanteau goodness-of-fit test.
Accumulated prediction errors, information criteria and optimal forecasting for au- toregressive time series.The Annals of Statistics 35, 3 (2007), 1238–1277
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Consistent model selection criteria and goodness-of-fit test for affine causal processes
Develops conditions for consistent penalized quasi-likelihood model selection in affine causal processes, shows BIC inconsistency in some cases like AR(p) with ARCH errors, and adds a portmanteau goodness-of-fit test.