Author pages are created from data sourced from our academic publisher partnerships and public sources.

Publications Influence

Share This Author

Regression and time series model selection in small samples

- C. Hurvich, Chih-Ling Tsai
- Mathematics
- 1 June 1989

SUMMARY A bias correction to the Akaike information criterion, AIC, is derived for regression and autoregressive time series models. The correction is of particular use when the sample size is small,… Expand

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

- C. Hurvich, J. Simonoff, Chih-Ling Tsai
- Mathematics
- 1998

Many different methods have been proposed to construct nonparametric estimates of a smooth regression function, including local polynomial, (convolution) kernel and smoothing spline estimators. Each… Expand

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

- C. Hurvich, R. Deo, Julia Brodsky
- Mathematics
- 1 January 1998

We establish some asymptotic properties of a log‐periodogram regression estimator for the memory parameter of a long‐memory time series. We consider the estimator originally proposed by Geweke and… Expand

Predictive Regressions: A Reduced-Bias Estimation Method

- Y. Amihud, C. Hurvich
- Economics
- 1 November 2002

Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series… Expand

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

- C. Hurvich, B. Ray
- Mathematics
- 1995

. We consider the asymptotic characteristics of the periodogram ordinates of a fractionally integrated process having memory parameter d≥ 0.5, for which the process is nonstationary, or d≤ -.5, for… Expand

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

- R. Deo, C. Hurvich
- MathematicsEconometric Theory
- 27 July 2001

We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility model. We study the estimator based on a log periodogram regression as originally proposed by… Expand

Multiple-Predictor Regressions: Hypothesis Testing

- Y. Amihud, C. Hurvich, Yi Wang
- Economics
- 2009

We propose a new hypothesis-testing method for multipredictor regressions in small samples, where the dependent variable is regressed on lagged variables that are autoregressive. The new test is… Expand

A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

- C. Hurvich, Chih-Ling Tsai
- Mathematics
- 1 May 1993

Abstract. We develop a small-sample criterion (AICC) for the selection of the order of vector autoregressive models. AICC is an approximately unbiased estimator of the expected Kullback-Leibler… Expand

Estimating Long Memory in Volatility

- C. Hurvich, É. Moulines, P. Soulier
- Mathematics
- 1 February 2002

We consider semiparametric estimation of the memory parameter in a model that includes as special cases both long-memory stochastic volatility and fractionally integrated exponential GARCH (FIEGARCH)… Expand

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

- C. Hurvich, K. Beltrao
- Mathematics
- 1 September 1993

. We consider the asymptotic distribution of the normalized periodogram ordinates I(ωj)/f(ωj) (j= 1,2,…) of a general long-memory time series. Here, I(ω;) is the periodogram based on a sample size n,… Expand

...

1

2

3

4

5

...