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1

Regression and time series model selection in small samples

HURVICH, CLIFFORD M., TSAI, CHIH-LING

Journal:

Year:

1989

Language:

english

File:

PDF, 534 KB

english, 1989

2

ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES

Clifford M. Hurvich, Bonnie K. Ray

Journal:

Journal of Time Series Analysis

Year:

1995

Language:

english

File:

PDF, 1.05 MB

english, 1995

3

The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

Clifford M. Hurvich, Rohit Deo, Julia Brodsky

Journal:

Journal of Time Series Analysis

Year:

1998

Language:

english

File:

PDF, 633 KB

english, 1998

4

Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

Rohit Deo, Clifford Hurvich, Yi Lu

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 443 KB

english, 2006

5

Multiple-Predictor Regressions: Hypothesis Testing

Yakov Amihud, Clifford M. Hurvich and Yi Wang

Journal:

Review of Financial Studies

Year:

2009

Language:

english

File:

PDF, 2.26 MB

english, 2009

6

Model selection for least absolute deviations regression in small samples

Clifford M. Hurvich, Chih-Ling Tsai

Journal:

Statistics & Probability Letters

Year:

1990

Language:

english

File:

PDF, 472 KB

english, 1990

7

A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

Clifford M. Hurvich, Chih-Ling Tsai

Journal:

Journal of Time Series Analysis

Year:

1993

Language:

english

File:

PDF, 391 KB

english, 1993

8

The Impact of Model Selection on Inference in Linear Regression

Hurvich, Clifford M., Tsai, Chih—Ling

Journal:

The American Statistician

Year:

1990

Language:

english

File:

PDF, 393 KB

english, 1990

9

Predictive Regressions: A Reduced-Bias Estimation Method

Yakov Amihud and Clifford M. Hurvich

Journal:

Journal of Financial and Quantitative Analysis

Year:

2004

Language:

english

File:

PDF, 2.91 MB

english, 2004

10

The propagation and identification of ARMA demand under simple exponential smoothing: forecasting expertise and information sharing

Hsieh, Meng-Chen, Giloni, Avi, Hurvich, Clifford

Journal:

IMA Journal of Management Mathematics

Year:

2020

File:

PDF, 1.32 MB

2020

11

Multi-step forecasting for long-memory processes

Julia Brodsky, Clifford M. Hurvich

Journal:

Journal of Forecasting

Year:

1999

Language:

english

File:

PDF, 298 KB

english, 1999

12

Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion

Clifford M. Hurvich, Jeffrey S. Simonoff, Chih-Ling Tsai

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Year:

1998

Language:

english

File:

PDF, 792 KB

english, 1998

13

Plug-in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long-memory Time Series

Clifford M. Hurvich, Rohit S. Deo

Journal:

Journal of Time Series Analysis

Year:

1999

Language:

english

File:

PDF, 158 KB

english, 1999

14

Broadband Semiparametric Estimation of the Memory Parameter of a Long-Memory Time Series Using Fractional Exponential Models

Clifford M. Hurvich, Julia Brodsky

Journal:

Journal of Time Series Analysis

Year:

2001

Language:

english

File:

PDF, 295 KB

english, 2001

15

ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES

Clifford M. Hurvich, Kaizo I. Beltrao

Journal:

Journal of Time Series Analysis

Year:

1993

Language:

english

File:

PDF, 841 KB

english, 1993

16

Computationally efficient methods for two multivariate fractionally integrated models

Rebecca J. Sela, Clifford M. Hurvich

Journal:

Journal of Time Series Analysis

Year:

2009

Language:

english

File:

PDF, 790 KB

english, 2009

17

Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend

Clifford Hurvich, Gabriel Lang and Philippe Soulier

Journal:

Journal of the American Statistical Association

Year:

2005

Language:

english

File:

PDF, 1.81 MB

english, 2005

18

On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series

Willa W. Chen, Clifford M. Hurvich and Yi Lu

Journal:

Journal of the American Statistical Association

Year:

2006

Language:

english

File:

PDF, 1.39 MB

english, 2006

19

Automatic selection of a linear predictor through frequency domain cross-validation

Hurvich, Clifford M.

Journal:

Communication in Statistics- Theory and Methods

Year:

1987

Language:

english

File:

PDF, 750 KB

english, 1987

20

Bias of the corrected AIC criterion for underfitted regression and time series models

HURVICH, CLIFFORD M., TSAI, CHIH-LING

Journal:

Year:

1991

Language:

english

File:

PDF, 1.10 MB

english, 1991

21

A Pure-Jump Transaction-Level Price Model Yielding Cointegration

Hurvich, Clifford M., Wang, Yi

Journal:

Journal of Business and Economic Statistics

Year:

2010

Language:

english

File:

PDF, 360 KB

english, 2010

22

High Breakdown Methods of Time Series Analysis

Lawrence G. Tatum and Clifford M. Hurvich

Journal:

Journal of the Royal Statistical Society Series B (Methodological)

Year:

1993

Language:

english

File:

PDF, 1.20 MB

english, 1993

23

Predictive Regressions: A Reduced-Bias Estimation Method

Amihud, Yakov, Hurvich, Clifford M.

Journal:

Journal of Financial and Quantitative Analysis

Year:

2004

Language:

english

File:

PDF, 246 KB

english, 2004

24

ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

Deo, Rohit S., Hurvich, Clifford M.

Journal:

Econometric Theory

Year:

2001

Language:

english

File:

PDF, 158 KB

english, 2001

25

The Impact of Model Selection on Inference in Linear Regression

Clifford M. Hurvich and Chih-Ling Tsai

Journal:

The American Statistician

Year:

1990

Language:

english

File:

PDF, 817 KB

english, 1990

26

On the Sensitivity of the Lasso to the Number of Predictor Variables

Flynn, Cheryl J., Hurvich, Clifford M., Simonoff, Jeffrey S.

Journal:

Statistical Science

Year:

2017

Language:

english

File:

PDF, 743 KB

english, 2017

27

The impact of unsuspected serial correlations on model selection in linear regression

Clifford M. Hurvich, Chih-Ling Tsai

Journal:

Statistics & Probability Letters

Year:

1996

Language:

english

File:

PDF, 567 KB

english, 1996

28

Asymptotics for duration-driven long range dependent processes

Meng-Chen Hsieh, Clifford M. Hurvich, Philippe Soulier

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 720 KB

english, 2007

29

Long memory in intertrade durations, counts and realized volatility of NYSE stocks

Rohit Deo, Mengchen Hsieh, Clifford M. Hurvich

Journal:

Journal of Statistical Planning and Inference

Year:

2010

Language:

english

File:

PDF, 840 KB

english, 2010

30

The FEXP estimator for potentially non-stationary linear time series

Clifford M. Hurvich, Eric Moulines, Philippe Soulier

Journal:

Stochastic Processes and their Applications

Year:

2002

Language:

english

File:

PDF, 268 KB

english, 2002

31

An information-theoretic framework for robustness

Stephan Morgenthaler, Clifford Hurvich

Journal:

Annals of the Institute of Statistical Mathematics

Year:

1991

Language:

english

File:

PDF, 773 KB

english, 1991

32

An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series

Norma Terrin, Clifford M. Hurvich

Journal:

Stochastic Processes and their Applications

Year:

1994

Language:

english

File:

PDF, 544 KB

english, 1994

33

Estimating fractional cointegration in the presence of polynomial trends

Willa W. Chen, Clifford M. Hurvich

Journal:

Journal of Econometrics

Year:

2003

Language:

english

File:

PDF, 371 KB

english, 2003

34

Linear Trend with Fractionally Integrated Errors

Rohit S. Deo, Clifford M. Hurvich

Journal:

Journal of Time Series Analysis

Year:

1998

Language:

english

File:

PDF, 377 KB

english, 1998

35

An Efficient Taper for Potentially Overdifferenced Long-memory Time Series

Clifford M. Hurvich, Willa W. Chen

Journal:

Journal of Time Series Analysis

Year:

2000

Language:

english

File:

PDF, 317 KB

english, 2000

36

Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series

Clifford M. Hurvich

Journal:

Journal of Time Series Analysis

Year:

2001

Language:

english

File:

PDF, 414 KB

english, 2001

37

CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC

Clifford M. Hurvich, Kaizô I. Beltrato

Journal:

Journal of Time Series Analysis

Year:

1990

Language:

english

File:

PDF, 589 KB

english, 1990

38

AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES

Clifford M. Hurvich, Kaizo I. Beltrao

Journal:

Journal of Time Series Analysis

Year:

1994

Language:

english

File:

PDF, 728 KB

english, 1994

39

ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES”

Clifford M. Hurvich, Kaizo I. Beltrao

Journal:

Journal of Time Series Analysis

Year:

1994

Language:

english

File:

PDF, 40 KB

english, 1994

40

Estimating Long Memory in Volatility

Clifford M. Hurvich, Eric Moulines, Philippe Soulier

Journal:

Year:

2005

Language:

english

File:

PDF, 309 KB

english, 2005

41

Corrigendum to “Estimating Long Memory in Volatility”

Clifford M. Hurvich, Eric Moulines, Philippe Soulier

Journal:

Year:

2008

Language:

english

File:

PDF, 35 KB

english, 2008

42

Multistep forecasting of long memory series using fractional exponential models

Clifford M. Hurvich

Journal:

International Journal of Forecasting

Year:

2002

Language:

english

File:

PDF, 187 KB

english, 2002

43

VARIANCE ESTIMATION FOR SAMPLE AUTOCOVARIANCES: DIRECT AND RESAMPLING APPROACHES

Clifford M. Hurvich, Jeffrey S. Simonoff1, Scott L. Zeger2

Journal:

Australian & New Zealand Journal of Statistics

Year:

1991

Language:

english

File:

PDF, 947 KB

english, 1991

44

The averaged periodogram estimator for a power law in coherency

Rebecca J. Sela, Clifford M. Hurvich

Journal:

Journal of Time Series Analysis

Year:

2012

Language:

english

File:

PDF, 905 KB

english, 2012

45

Predictive regression with order-p autoregressive predictors

Yakov Amihud, Clifford M. Hurvich, Yi Wang

Journal:

Journal of Empirical Finance

Year:

2010

Language:

english

File:

PDF, 230 KB

english, 2010

46

On the Complexity of the Preconditioned Conjugate Gradient Algorithm for Solving Toeplitz Systems with a Fisher--Hartwig Singularity

Lu, Yi, Hurvich, Clifford M.

Journal:

SIAM Journal on Matrix Analysis and Applications

Year:

2005

Language:

english

File:

PDF, 203 KB

english, 2005

47

Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models

Flynn, Cheryl J., Hurvich, Clifford M., Simonoff, Jeffrey S.

Journal:

Journal of the American Statistical Association

Year:

2013

Language:

english

File:

PDF, 387 KB

english, 2013

48

Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods

Clifford M. Hurvich

Journal:

Journal of the American Statistical Association

Year:

1985

Language:

english

File:

PDF, 1.49 MB

english, 1985

49

A Mean Squared Error Criterion for Time Series Data Windows

Clifford M. Hurvich

Journal:

Year:

1988

Language:

english

File:

PDF, 705 KB

english, 1988

50

Regression and Time Series Model Selection in Small Samples

Clifford M. Hurvich and Chih-Ling Tsai

Journal:

Year:

1989

Language:

english

File:

PDF, 1.09 MB

english, 1989

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