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Model selection for integrated autoregressive processes of infinite order.

, , and . J. Multivar. Anal., (2012)

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Observational equivalence and a stochastic cointegration test of the neoclassical and Romer's increasing returns models, and . Economic Modelling, 14 (1): 39--60 (January 1997)Model selection for integrated autoregressive processes of infinite order., , and . J. Multivar. Anal., (2012)Information criteria for selecting possibly misspecified parametric models, and . Journal of Econometrics, 71 (1-2): 207--225 (00 1996)Advances in Econometrics. Volume 20, Part 1, chapter A Portmanteau Test for Multivariate GARCH when the Conditional Mean is an ECM: Theory and Empirical Applications, page 125--151. JAI, (2006)Advances in Econometrics. Volume 17, chapter ESTIMATING A LINEAR EXPONENTIAL DENSITY WHEN THE WEIGHTING MATRIX AND MEAN PARAMETER VECTOR ARE FUNCTIONALLY RELATED, page 177--197. JAI, (2003)