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Selection of weak VARMA models by modified Akaike's information criteria

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  • Boubacar Mainassara, Yacouba
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    Abstract

    This article considers the problem of order selection of the vector autoregressive moving-average models and of the sub-class of the vector autoregressive models under the assumption that the errors are uncorrelated but not necessarily independent. We propose a modified version of the AIC (Akaike information criterion). This criterion requires the estimation of the matrice involved in the asymptotic variance of the quasi-maximum likelihood estimator of these models. Monte carlo experiments show that the proposed modified criterion estimates the model orders more accurately than the standard AIC and AICc (corrected AIC) in large samples and often in small samples.

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    File URL: http://mpra.ub.uni-muenchen.de/24981/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24981.

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    Date of creation: 21 Jun 2010
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    Handle: RePEc:pra:mprapa:24981

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    Keywords: AIC; discrepancy; identification; Kullback-Leibler information; model selection; QMLE; order selection; weak VARMA models.;

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    1. Francq, Christian & Zako an, Jean-Michel, 2000. "Estimating Weak Garch Representations," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 16(05), pages 692-728, October.
    2. Boubacar Mainassara, Yacouba, 2009. "Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 18990, University Library of Munich, Germany.
    3. 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.
    4. 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.
    5. Christian Francq & Hamdi Raïssi, 2007. "Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 28(3), pages 454-470, 05.
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