scholarly journals Consistent model selection criteria and goodness-of-fit test for common time series models

2020 ◽  
Vol 14 (1) ◽  
pp. 2009-2052 ◽  
Author(s):  
Jean-Marc Bardet ◽  
Kare Kamila ◽  
William Kengne
Keyword(s):  
Time Series ◽  
Model Selection ◽  
Selection Criteria ◽  
Goodness Of Fit ◽  
Time Series Models ◽  
Goodness Of Fit Test ◽  
Model Selection Criteria ◽  
Common Time ◽  
Consistent Model

MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS

2002 ◽  
Vol 18 (6) ◽  
pp. 1385-1407 ◽  
Author(s):  
Hyungsik Roger Moon ◽  
Frank Schorfheide
Keyword(s):  
Time Series ◽  
Minimum Distance ◽  
Goodness Of Fit ◽  
Distance Estimation ◽  
Nonstationary Time Series ◽  
Regularity Conditions ◽  
Time Series Models ◽  
Goodness Of Fit Test ◽  
Restricted Parameter Space ◽  
Income Model

This paper analyzes the limit distribution of minimum distance (MD) estimators for nonstationary time series models that involve nonlinear parameter restrictions. A rotation for the restricted parameter space is constructed to separate the components of the MD estimator that converge at different rates. We derive regularity conditions for the restriction function that are easier to verify than the stochastic equicontinuity conditions that arise from direct estimation of the restricted parameters. The sequence of matrices that is used to weigh the discrepancy between the unrestricted estimates and the restriction function is allowed to have a stochastic limit. For MD estimators based on unrestricted estimators with a mixed normal asymptotic distribution the optimal weight matrix is derived and a goodness-of-fit test is proposed. Our estimation theory is illustrated in the context of a permanent-income model and a present-value model.

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