Selection of weak VARMA models by Akaïke's information criteria
AbstractThis article considers the problem of orders selections of vector autoregressive moving-average (VARMA) models and the sub-class of vector autoregressive (VAR) models under the assumption that the errors are uncorrelated but not necessarily independent. We relax the standard independence assumption to extend the range of application of the VARMA models, and allow to cover linear representations of general nonlinear processes. We propose a modified criterion to the corrected AIC (Akaïke information criterion) version (AICc) introduced by Tsai and Hurvich (1989). This modified criterion is an approximately unbiased estimator of the Kullback-Leibler discrepancy, originally used to derive AIC-based criteria. Moreover, this criterion requires the estimation of the matrice involved in the asymptotic variance of the quasi-maximum likelihood (QML) estimator of the models, which provide an additional information about models. Monte carlo experiments show that the proposed modified criterion estimates the models orders more accurately than the standard AIC and AICc in large samples and often in small samples.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 23412.
Date of creation: 21 Jun 2010
Date of revision:
AIC; discrepancy; Kullback-Leibler information; QMLE/LSE; order selection; structural representation; weak VARMA models.;
Find related papers by JEL classification:
- 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 &bull Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-03 (All new papers)
- NEP-ECM-2010-07-03 (Econometrics)
- NEP-ETS-2010-07-03 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francq, Christian & Zakoïan, Jean-Michel, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 98(1), pages 114-144, January.
- Francq, Christian & Roy, Roch & Zakoian, Jean-Michel, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 100, pages 532-544, June.
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