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Temporal Aggregation and the Akaike and Schwarz Model Selection Criteria. Some Monte Carlo Results


  • George Xanthos

    (Technological Educational Institute of Crete)

  • Kostantinos Gilas

    (University of Crete Department of Economics)

  • Dikaios Tserkezos

    (University of Crete Department of Economics)


This short paper demonstrates that the use of temporally aggregated data may affect the performance of the well known Akaike and Schwarz model selection criteria. These two criteria are widely used for model selection in linear and nonlinear models. Using Monte Carlo techniques, we find that temporal aggregation could affect seriously the performance of the two aforementioned criteria.

Suggested Citation

  • George Xanthos & Kostantinos Gilas & Dikaios Tserkezos, 2007. "Temporal Aggregation and the Akaike and Schwarz Model Selection Criteria. Some Monte Carlo Results," Economics Bulletin, AccessEcon, vol. 28(8), pages 1.
  • Handle: RePEc:ebl:ecbull:eb-07aa0016

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