Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus, we...
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| Main Authors: | , |
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| Format: | E-Article |
| Language: | English |
| Published: |
Orebro University School of Business
2005
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18631/7/Autoregressive%20Lag%20Length%20Selection%20Criteria%20%28abstract%29.pdf http://ir.unimas.my/id/eprint/18631/ https://econpapers.repec.org/article/eblecbull/eb-05c20011.htm |
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