Selection of weak VARMA models by modified Akaike's information criteria
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.
|Date of creation:||21 Jun 2010|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
- 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.
- Christian Francq & Jean-Michel Zakoïan, 1997.
"Estimating Weak Garch Representations,"
97-40, Centre de Recherche en Economie et Statistique.
- Francq, Christian & Zakoïan, Jean-Michel, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 114-144, January.
- Christian Francq & Hamdi Raïssi, 2007. "Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 454-470, 05.
- 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, vol. 100, pages 532-544, June.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:24981. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.