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.
Information theory and an extension of the maximum likelihood principle.Proceed- ings of the 2nd international symposium on information, Akademiai Kiado, Budapest(1973)
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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.