Answers are grounded in this paper and cite their sources.
In this article we suggest a nonparametric procedure for selecting significant lags in the model description of a general nonlinear stationary time series. The procedure can be applied to both the conditional mean and the conditional variance and is valid for heteroscedastic series. The procedure is illustrated by simulations and sunspot data, lynx data, and blowfly data are analyzed. It is indicated that projectors can be used in conjunction with the procedure for selecting significant lags to check the adequacy of an additive time series model.
No takes yet. Share an insight, caveat, or question.
Tjøstheim et al. (1994) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: