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Comparison Of Criteria For Estimating The Order Of A Vector Autoregressive Process


  • Helmut Lütkepohl


. Various criteria for estimating the order of a vector autoregressive process are compared in a simulation study. For the considered processes Schwarz's BIC criterion chooses the correct autoregressive order most often and leads to the smallest mean squared forecasting error in samples of the size usually available in practice.

Suggested Citation

  • Helmut Lütkepohl, 1985. "Comparison Of Criteria For Estimating The Order Of A Vector Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(1), pages 35-52, January.
  • Handle: RePEc:bla:jtsera:v:6:y:1985:i:1:p:35-52
    DOI: 10.1111/j.1467-9892.1985.tb00396.x

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