Browsing by Author "Mantalos, Panagiotis"
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Article
Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC
Mantalos, Panagiotis; Karagrigoriou, Alex (2012)In this paper, we consider the bootstrap procedure for the augmented Dickey-Fuller (ADF) unit root test by implementing the modified divergence information criterion (MDIC, Mantalos et al. [An improved divergence information ...
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Article
Forecasting ARMA models: A comparative study of information criteria focusing on MDIC
Mantalos, Panagiotis; Mattheou, K.; Karagrigoriou, Alex (2010)This paper deals with the implementation of model selection criteria to data generated by ARMA processes. The recently introduced modified divergence information criterion is used and compared with traditional selection ...
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Article
Hybrid bootstrap aided unit root testing
Jentsch, C.; Kreiss, J. -P; Mantalos, Panagiotis; Paparoditis Efstathios, E. (2012)In this paper, we propose a hybrid bootstrap procedure for augmented Dickey-Fuller (ADF) tests for the presence of a unit root. This hybrid proposal combines a time domain parametric autoregressive fit to the data and a ...
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Article
An improved divergence information criterion for the determination of the order of an ar process
Mantalos, Panagiotis; Mattheou, K.; Karagrigoriou, Alex (2010)In this article we propose a modification of the recently introduced divergence information criterion (DIC, Mattheou et al., 2009) for the determination of the order of an autoregressive process and show that it is an ...
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Book Chapter
Vector autoregressive order selection and forecasting via the modified divergence information criterion
Mantalos, Panagiotis; Mattheou, Kyriacos; Karagrigoriou, Alex (2010)