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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2008
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| Online Access: | http://psasir.upm.edu.my/id/eprint/40526/1/56.%20Performance%20of%20Autoregressive%20Order%20Selection%20Criteria.pdf |