Performance of Autoregressive Order Selection Criteria: A Simulation Study

• Main Authors: Liew, Venus Khim-Sen, Shitan, Mahnendran, Choong, Chee-Keong, Hooy, Chee-Wooi
• Format: E-Article
• Language: English
• Published: Universiti Putra Malaysia Press 2008
• Subjects: HB Economic Theory
• Online Access: http://ir.unimas.my/id/eprint/18654/8/Performance%20of%20Autoregressive%20Order%20Selection%20Criteria%20%28abstract0.pdf; http://ir.unimas.my/id/eprint/18654/; https://www.researchgate.net/publication/255584762

Proper selection of autoregressive order plays a crucial role in econometrics modeling cycles and testing procedures. This paper compares the performance of various autoregressive order selection criteria in selecting the true order. This simulation study shows that Schwarz information criterion (S...