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Preliminary test estimation for the second order autoregression |
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| Authors: | Robert Bohrer Kunjung Lai Thomas A. Yancey |
| Affiliation: | 1. Dept. of Statistics , Univ. of Illinois , Champaign, 61820;2. Dept. of Economics , Univ. of Illinois , Champaign, 61820 |
| Abstract: | Consequences of preliminary test model identification procedures in time series analysis are examined in the context of a squared error risk function. Asymptotic risk comparisons and Monte Carlo studies are used in comparing these procedures. |
| Keywords: | preliminary test autoregressive model asymptotic squared error risk Monte Carlo |