|
|||||
|
|
Autoregressive Order Identification for VAR Models with Non Constant Variance |
|
| Authors: | Hamdi Raïssi |
| Institution: | 1. IRMAR-INSA ,Rennes ,France and Instituto de Estadística Pontificia, Universidad Católica de Valparaíso, Valparaíso, Chilehamdi.raissi@insa-rennes.fr |
| Abstract: | |
| Keywords: | AIC Model selection Partial autoregressive matrices Time-varying unconditional variance VAR model |