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Performance of autoregressive order selection criteria: a simulation study

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 (SI...

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Bibliographic Details
Main Authors: Liew, Venus Khim-Sen, Shitan, Mahendran, Choong, Chee Keong, Hooy, Chee Wooi
Format: Article
Language:English
Published: Universiti Putra Malaysia Press 2008
Online Access:http://psasir.upm.edu.my/id/eprint/40526/1/56.%20Performance%20of%20Autoregressive%20Order%20Selection%20Criteria.pdf
http://psasir.upm.edu.my/id/eprint/40526/
http://www.pertanika.upm.edu.my/Pertanika%20PAPERS/JST%20Vol.%2016%20%282%29%20Jul.%202008/11%20Pages%20171-176.pdf
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http://psasir.upm.edu.my/id/eprint/40526/1/56.%20Performance%20of%20Autoregressive%20Order%20Selection%20Criteria.pdf
http://psasir.upm.edu.my/id/eprint/40526/
http://www.pertanika.upm.edu.my/Pertanika%20PAPERS/JST%20Vol.%2016%20%282%29%20Jul.%202008/11%20Pages%20171-176.pdf

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