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Abstract

Schwarz. In this paper I evaluate the predictive ability of the Akaike and Schwarz information criteria using autoregressive integrated moving average models, with sectoral data of Chilean GDP. In terms of root mean square error, and after the estimation of more than a million models, the results indicate that —on average— the models based on the Schwarz criterion perform better than those selected with the Akaike, for the four horizons analyzed. Furthermore, the statistical significance of these differences indicates that the superiority in favor of the Schwarz criterion holds mainly at higher horizons.

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Bibliographic Info

Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 658.

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Date of creation: Jan 2012
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Handle: RePEc:chb:bcchwp:658

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Find related papers by JEL classification:

• C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
• C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
• C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
• C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models

This paper has been announced in the following NEP Reports:

• NEP-ALL-2012-02-27 (All new papers)
• NEP-FOR-2012-02-27 (Forecasting)

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1. Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.
2. Giacomini, Raffaella & White, Halbert, 2003. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series qt5jk0j5jh, Department of Economics, UC San Diego.
   
   • Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
   • Raffaella Giacomini & Halbert White, 2003. "Tests of Conditional Predictive Ability," Econometrics 0308001, EconWPA.
   • Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
3. Nishii, R., 1988. "Maximum likelihood principle and model selection when the true model is unspecified," Journal of Multivariate Analysis, Elsevier, vol. 27(2), pages 392-403, November.
4. Sin, Chor-Yiu & White, Halbert, 1996. "Information criteria for selecting possibly misspecified parametric models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 207-225.
5. Geweke, John F & Meese, Richard, 1981. "Estimating Regression Models of Finite but Unknown Order," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 55-70, February.
   
   • Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
6. Yi, Gang & Judge, George, 1988. "Statistical model selection criteria," Economics Letters, Elsevier, vol. 28(1), pages 47-51.
7. Nickelsburg, Gerald, 1985. "Small-sample properties of dimensionality statistics for fitting VAR models to aggregate economic data : A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 28(2), pages 183-192, May.
8. Medel, Carlos A., 2012. "How informative are in-sample information criteria to forecasting? the case of Chilean GDP," MPRA Paper 35949, University Library of Munich, Germany.
   
   • Carlos Medel, 2012. "How Informative are In–Sample Information Criteria to Forecasting? The Case of Chilean GDP," Working Papers Central Bank of Chile 657, Central Bank of Chile.
9. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
   
   • Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
10. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
11. Granger, Clive W. J. & King, Maxwell L. & White, Halbert, 1995. "Comments on testing economic theories and the use of model selection criteria," Journal of Econometrics, Elsevier, vol. 67(1), pages 173-187, May.
12. Melard, G. & Pasteels, J. -M., 2000. "Automatic ARIMA modeling including interventions, using time series expert software," International Journal of Forecasting, Elsevier, vol. 16(4), pages 497-508.
13. Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 161-79, April.
14. Amemiya, Takeshi, 1980. "Selection of Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 331-54, June.
15. Poskitt, D.S., 1994. "A Note on Autoregressive Modeling," Econometric Theory, Cambridge University Press, vol. 10(05), pages 884-899, December.
16. Guy Melard & Jean-Michel Pasteels, 2000. "Automatic ARIMA modeling including interventions, using time series expert software," ULB Institutional Repository 2013/13744, ULB -- Universite Libre de Bruxelles.
17. Pablo Pincheira Brown & Álvaro García Marín, 2009. "Forecasting Inflation in Chile With an Accurate Benchmark," Working Papers Central Bank of Chile 514, Central Bank of Chile.
18. Sawa, Takamitsu, 1978. "Information Criteria for Discriminating among Alternative Regression Models," Econometrica, Econometric Society, vol. 46(6), pages 1273-91, November.

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Cited by:

1. Stephanie Schmitt-Grohé & Martín Uribe, 2012. "Pegs, Downward Wage Rigidity, and Unemployment: the Role of Financial Structure," Working Papers Central Bank of Chile 672, Central Bank of Chile.

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