On Autoregressive Order Selection Criteria
AbstractThis study investigates the performance of various commonly applied order selection criteria in selecting order of Autoregressive (AR) process. The most important finding of this study is that Akaike’s information criterion, Schwarz information criterion, Hannan-Quinn criterion, final prediction error and Bayesian information criterion perform considerably well in estimating the true autoregressive order, even in small sample. Besides, there is no significant gain in differentiating these criteria unless one has a considerable large sample size. This study contributes to the empirical literature by providing helpfully guidelines regarding the use of order selection criteria in determining the autoregressive order.
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Date of creation: 07 Apr 2004
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Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-11 (All new papers)
- NEP-ECM-2004-04-11 (Econometrics)
- NEP-ETS-2004-04-11 (Econometric Time Series)
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