A 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

See all articles by Jack H.W. Penm

Jack H.W. Penm

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce

Jammie H. Penm

Independent

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management

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

Penm, Jack and Penm, Jammie H. and Terrell, R. Deane, A Note on the Sequential Fitting of Multichannel Subset Autoregressions Using the Prewindowed Case - Financial and Economic Forecasting (Chapter 7) (October 2002). Available at SSRN: https://ssrn.com/abstract=358921 or http://dx.doi.org/10.2139/ssrn.358921

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)

Jammie H. Penm

Independent ( email )

61 (02) 62880126 (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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