IDEAS home Printed from https://ideas.repec.org/p/wpa/wuwpge/0307003.html
   My bibliography  Save this paper

The Performance of AICC as an Order Selection Criterion in ARMA Time Series Models

Author

Listed:
  • Liew Khim Sen

    (Universiti Putra Malaysia)

  • Mahendran Shitan

    (Universiti Putra Malaysia)

Abstract

This study is undertaken with the objective of investigating the performance of Akaike’s Information Corrected Criterion (AICC) as an order determination criterion for the selection of Autoregressive Moving-average or ARMA (p, q) time series models. A simulation investigation was carried out to determine the probability of the AICC statistic picking up the true model. Results obtained showed that the probability of the AICC criterion picking up the correct model was moderately good. The problem of over parameterization existed but under parameterization was found to be minimal. Hence, for any two comparable models, it is always safe to choose the one with lower order of p and q.

Suggested Citation

  • Liew Khim Sen & Mahendran Shitan, 2003. "The Performance of AICC as an Order Selection Criterion in ARMA Time Series Models," GE, Growth, Math methods 0307003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpge:0307003
    Note: Type of Document - pdf
    as

    Download full text from publisher

    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/ge/papers/0307/0307003.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
    2. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Serena Ng & Pierre Perron, 2005. "A Note on the Selection of Time Series Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 115-134, February.
    2. Guyon, Xavier & Yao, Jian-feng, 1999. "On the Underfitting and Overfitting Sets of Models Chosen by Order Selection Criteria," Journal of Multivariate Analysis, Elsevier, vol. 70(2), pages 221-249, August.
    3. Ng, Serena, 2013. "Variable Selection in Predictive Regressions," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 752-789, Elsevier.
    4. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria.
    5. Mbodja Mougoué & Ramesh P. Rao, 2003. "The Information Signaling Hypothesis of Dividends: Evidence from Cointegration and Causality Tests," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(3‐4), pages 441-478, April.
    6. Campos, Eduardo Lima & Cysne, Rubens Penha, 2017. "A time-varying fiscal reaction function for Brazil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 795, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    7. Rodrigo Hakim das Neves, 2020. "Bitcoin pricing: impact of attractiveness variables," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
    8. Asghar, Zahid & Abid, Irum, 2007. "Performance of lag length selection criteria in three different situations," MPRA Paper 40042, University Library of Munich, Germany.
    9. Adrian Bruhin & Ernst Fehr & Daniel Schunk, 2019. "The many Faces of Human Sociality: Uncovering the Distribution and Stability of Social Preferences," Journal of the European Economic Association, European Economic Association, vol. 17(4), pages 1025-1069.
    10. Kathryn M. Dominguez, 1991. "Do Exchange Auctions Work? An Examination of the Bolivian Experience," NBER Working Papers 3683, National Bureau of Economic Research, Inc.
    11. Bin Liu & Weifeng Chen & Bo Li & Xiuping Liu, 2022. "Neural Subspace Learning for Surface Defect Detection," Mathematics, MDPI, vol. 10(22), pages 1-16, November.
    12. Jacint Balaguer & Manuel Cantavella-Jorda, 2004. "Structural change in exports and economic growth: cointegration and causality analysis for Spain (1961-2000)," Applied Economics, Taylor & Francis Journals, vol. 36(5), pages 473-477.
    13. Muhammad Farooq Arby & Amjad Ali, 2017. "Threshold Inflation in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 13, pages 1-19.
    14. Ramona Dumitriu & Razvan Stefanescu, 2015. "The Relationship Between Romanian Exports And Economic Growth After The Adhesion To European Union," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 17-26.
    15. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages C32-C61, 03.

    More about this item

    Keywords

    AICC; ARMA; under/over parameterization;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D9 - Microeconomics - - Micro-Based Behavioral Economics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpge:0307003. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.