IDEAS home Printed from https://ideas.repec.org/a/ids/ijcome/v1y2010i3-4p254-277.html
   My bibliography  Save this article

Vector autoregressive order selection and forecasting via the modified divergence information criterion

Author

Listed:
  • Panagiotis Mantalos
  • Kyriacos Mattheou
  • Alex Karagrigoriou

Abstract

This paper examines the problem of order selection in connection to the forecasting performance for vector autoregressive (VAR) processes. For this purpose we present a generalisation of the modified divergence information criterion (MDIC) for VAR models and compare it with traditional information criteria by Monte Carlo methods for different data generating processes for small, medium, and large sample sizes. The VAR modified divergence information criterion (VAR/MDIC) shows remarkable good results by choosing the correct model more frequently than the known traditional information criteria with the smallest mean squared forecast error.

Suggested Citation

  • Panagiotis Mantalos & Kyriacos Mattheou & Alex Karagrigoriou, 2010. "Vector autoregressive order selection and forecasting via the modified divergence information criterion," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 254-277.
    • Handle: RePEc:ids:ijcome:v:1:y:2010:i:3/4:p:254-277
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=37937
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kimio Morimune & Akihisa Mantani, 1995. "Estimating The Rank Of Cointegration After Estimating The Order Of A Vector Autoregression," The Japanese Economic Review, Japanese Economic Association, vol. 46(2), pages 191-205, June.
    2. Hirotugu Akaike, 1977. "An objective use of Bayesian models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 29(1), pages 9-20, December.
    3. David F. Findley, 1984. "On Some Ambiguities Associated With The Fitting Of Arma Models To Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(4), pages 213-225, July.
    4. Eleftherios I. Thalassinos & Mike P. Hanias & Panayiotis G. Curtis & Yannis E. Thalassinos, 2009. "Chaos theory: forecasting the freight rate of an oil tanker," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(1), pages 76-88.
    5. George Filis & Kyriakos Kentzoglanakis & Christos Floros, 2009. "VAR model training using particle swarm optimisation: evidence from macro-finance data," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(1), pages 9-22.
    6. Bengtsson, Thomas & Cavanaugh, Joseph E., 2006. "An improved Akaike information criterion for state-space model selection," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2635-2654, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ashis Kumar Pradhan & Gourishankar S Hiremath, 2020. "Do external commercial borrowings and financial development affect exports?," Cogent Business & Management, Taylor & Francis Journals, vol. 7(1), pages 1796269-179, January.
    2. Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2012. "Estimating the system order by subspace methods," Computational Statistics, Springer, vol. 27(3), pages 411-425, September.
    3. Ismael Sanchez & Daniel Pena, 2001. "Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(1), pages 45-66, January.
    4. Liu Banteng & Haibo Yang & Qiuxia Chen & Zhangquan Wang, 2019. "Research on the subtractive clustering algorithm for mobile ad hoc network based on the Akaike information criterion," International Journal of Distributed Sensor Networks, , vol. 15(9), pages 15501477198, September.
    5. Nurul Hidayah & Wahyudin Zarkasyi, 2017. "The Effect of Human Resources Management Competency and the Role of Culture on Accrual Accounting Implementation Effectiveness and the Impact on Quality of Accounting Information," European Research Studies Journal, European Research Studies Journal, vol. 0(4B), pages 183-199.
    6. Anis Chariri & Indira Januarti, 2017. "Audit Committee Characteristics and Integrated Reporting:Empirical Study of Companies Listed on the Johannesburg Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(4B), pages 305-318.
    7. Isabella Damdinovna Elyakova & Aleksandr Andreyevich Khristoforov & Aleksandr Lvovich Elyakov & Larisa Ivanovna Danilova & Tamara Aleksandrovna Karataeva & Elena Vladimirovna Danilova, 2017. "Forecast Scenarios of World Prices for Natural Gas," European Research Studies Journal, European Research Studies Journal, vol. 0(4A), pages 284-297.
    8. Alexander Lvovich Elyakov & Isabella Damdinovna Elyakova & Larisa Ivanovna Danilova & Alexander Andreevich Khristoforov & Oleg Ilich Kondratev & Valentina Vasilyevna Grigoryeva, 2017. "History and Prospects of Natural Gas Pricing in Continental Europe in Conditions of Instability of World Oil Prices," European Research Studies Journal, European Research Studies Journal, vol. 0(4A), pages 323-338.
    9. Thierno Thioune, 2017. "Financial Instability and Inequality Dynamics in the WAEMU," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(1), pages 43-62, June.
    10. Rashidi, Parinaz & Wang, Tiejun & Skidmore, Andrew & Mehdipoor, Hamed & Darvishzadeh, Roshanak & Ngene, Shadrack & Vrieling, Anton & Toxopeus, Albertus G., 2016. "Elephant poaching risk assessed using spatial and non-spatial Bayesian models," Ecological Modelling, Elsevier, vol. 338(C), pages 60-68.
    11. Dariusz Bernacki, 2021. "Revealing the Impact of Increased Tanker Size on Shipping Costs," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 604-621.
    12. Mike P. Hanias & Lykourgos Magafas, 2013. "Predicting the Production of Total Industry in Greece with Chaos Theory and Neural Networks," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 59-67.
    13. J. G. Liao & Joseph E. Cavanaugh & Timothy L. McMurry, 2018. "Extending AIC to best subset regression," Computational Statistics, Springer, vol. 33(2), pages 787-806, June.
    14. Trevezas, S. & Malefaki, S. & Cournède, P.-H., 2014. "Parameter estimation via stochastic variants of the ECM algorithm with applications to plant growth modeling," Computational Statistics & Data Analysis, Elsevier, vol. 78(C), pages 82-99.
    15. Budi Frensidy & Irene Josephine & Ignatius Roni Setyawan, 2019. "Price Formation around Dividend Announcement Date: Empirical Evidence in Indonesian Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 106-118.
    16. Alexander Mikhailovich Batkovskiy & Viktor Antonovich Nesterov & Olga Olegovna Reshetova & Elena Georgievna Semenova & Alena Vladimirovna Fomina, 2017. "Dynamic Model of Optimal Production Control in a Hysteretic Behaviour of Economic Agents," European Research Studies Journal, European Research Studies Journal, vol. 0(2A), pages 355-379.
    17. Yi Pan & Qiqi Yuan & Jinsong Ma & Lachun Wang, 2022. "Improved Daily Spatial Precipitation Estimation by Merging Multi-Source Precipitation Data Based on the Geographically Weighted Regression Method: A Case Study of Taihu Lake Basin, China," IJERPH, MDPI, vol. 19(21), pages 1-18, October.
    18. Ahsan Abbas & Eatzaz Ahmed & Fazal Husain, 2019. "Political and Economic Uncertainty and Investment Behaviour in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(3), pages 307-331.
    19. Brikota T.B. & Delenyan B.A. & Ksenz M.V. & Fedorova N.B., 2018. "Prospects for the Development of Sea Transport of the Russian Federation in World Trade," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 823-832.
    20. Fábio Bayer & Francisco Cribari-Neto, 2015. "Bootstrap-based model selection criteria for beta regressions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 776-795, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijcome:v:1:y:2010:i:3/4:p:254-277. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=311 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.