Hannan-Rissanen ARMA order selection

Stages 1-2 of Hannan & Rissanen (1982): innovations from a long AIC autoregression, then BIC over regressions on lagged values and lagged innovations. By default stage 2 is repeated on the recursive residuals of the first-pass model - the consistency fix of their 1983 correction, without which the selection does not converge when the MA polynomial has zeros near the unit circle.

Usage

hannan_rissanen(x, max_p = 5, max_q = 5, erratum = TRUE)

Arguments

x

A numeric vector (a stationary series).

max_p, max_q

Candidate grid (defaults 5 and 5).

erratum

Apply the 1983 correction pass (default TRUE).

Value

A list with p, q, the stage-2 coefficient estimates phi and theta, sigma2 and the long-AR order used.