Type of Publication:  Journal article 
Author:  Beran, Jan; Ocker, Dirk; Bhansali, Rajendra J. 
Year of publication:  1998 
Published in:  Biometrika ; 85 (1998), 4.  pp. 921934.  ISSN 00063444 
DOI (citable link):  https://dx.doi.org/10.1093/biomet/85.4.921 
Summary: 
The question of model choice for the class of stationary and nonstationary, fractional and nonfractional autoregressive processes is considered. This class is defined by the property that the dth difference, for $ \frac{1}{2} < d < \infty$ , is a stationary autoregressive process of order $p_o < \infty$ . A version of the Akaike information criterion, AIC, for determining an appropriate autoregressive order when d and the autoregressive parameters are estimated simultaneously by a maximum likelihood procedure (Beran, 1995) is derived and shown to be of the same general form as for a stationary autoregressive process, but with d treated as an additional estimated parameter. Moreover, as in the stationary case, this criterion is shown not to provide a consistent estimator of po. The corresponding versions of BIC of Schwarz (1978) and the HIC of Hannan & Quinn (1979) are shown to yield consistent estimators of p0. The results provide a unified treatment of fractional and nonfractional, stationary and integrated nonstationary autoregressive models.

Subject (DDC):  510 Mathematics 
Keywords:  AIC, Autoregressive process, BIC, BoxJenkins ARIMA, differencing, fractional ARIMA, HIC, Longrange dependence, Maximum Likelihood estimation, model choice 
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BERAN, Jan, Dirk OCKER, Rajendra J. BHANSALI, 1998. On unified model selection for stationary and nonstationary short and longmemory autoregressive processes. In: Biometrika. 85(4), pp. 921934. ISSN 00063444. Available under: doi: 10.1093/biomet/85.4.921
@article{Beran1998unifi18832, title={On unified model selection for stationary and nonstationary short and longmemory autoregressive processes}, year={1998}, doi={10.1093/biomet/85.4.921}, number={4}, volume={85}, issn={00063444}, journal={Biometrika}, pages={921934}, author={Beran, Jan and Ocker, Dirk and Bhansali, Rajendra J.} }