Download This PaperA Note on the Sequential Fitting of Multichannel Subset Autoregressions Using the Prewindowed Case - Financial and Economic Forecasting (Chapter 7)
16 Pages Posted: 16 Jan 2003
Date Written: October 2002
Abstract
In this chapter, an efficient adaptive algorithm for multichannel subset autoregression identification using the prewindowed case is developed. After the initialization is carried out by the direct method, the optimum multichannel subset autoregression at each time instant is selected by employing the proposed recursions in conjunction with a model selection criterion.
Keywords: Sequential Fitting, Multichannel Subset Autoregressions, Prewindowed Case
JEL Classification: C22, C53, E31
Suggested Citation: Suggested Citation
Jack Penm (Contact Author)
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce ( email )
Canberra, Australian Capital Territory 0200
Australia
+61 (02) 61250535 (Phone)
+61 (02) 61250087 (Fax)
R. Deane Terrell
Australian National University (ANU) - National Graduate School of Management ( email )
Sir Roland Wilson Building (120)
Canberra, Australian Capital Territory 0200
Australia
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