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On Autoregressive Order Selection Criteria

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Author Info
Venus Khim-Sen Liew

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Abstract

This 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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Paper provided by EconWPA in its series Computational Economics with number 0404001.

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Date of creation: 07 Apr 2004
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Handle: RePEc:wpa:wuwpco:0404001

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Web page: http://129.3.20.41

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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
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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References listed on IDEAS
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.:
  1. Tan Hui Boon & Baharumshah Ahmad Zubaidi, 1999. "Dynamic Causal Chain of Money, Output, Interest Rate and Prices in Malaysia: Evidence Based On Vector Error- Correction Modelling Analysis," International Economic Journal, Korean International Economic Association, vol. 13(1), pages 103-120. [Downloadable!] (restricted)
  2. Mark P. Taylor, 2003. "Purchasing Power Parity," Review of International Economics, Blackwell Publishing, vol. 11(3), pages 436-452, 08. [Downloadable!] (restricted)
  3. Yamada, H, 2000. "M2 Demand Relation and Effective Exchange Rate in Japan: A Cointegration Analysis," Applied Economics Letters, Taylor and Francis Journals, vol. 7(4), pages 229-32, April. [Downloadable!] (restricted)
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