Boubacar Mainassara, Yacouba (2010): Selection of weak VARMA models by Akaïke's information criteria.

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Abstract
This article considers the problem of orders selections of vector autoregressive movingaverage (VARMA) models and the subclass of vector autoregressive (VAR) models under the assumption that the errors are uncorrelated but not necessarily independent. We relax the standard independence assumption to extend the range of application of the VARMA models, and allow to cover linear representations of general nonlinear processes. We propose a modified criterion to the corrected AIC (Akaïke information criterion) version (AICc) introduced by Tsai and Hurvich (1989). This modified criterion is an approximately unbiased estimator of the KullbackLeibler discrepancy, originally used to derive AICbased criteria. Moreover, this criterion requires the estimation of the matrice involved in the asymptotic variance of the quasimaximum likelihood (QML) estimator of the models, which provide an additional information about models. Monte carlo experiments show that the proposed modified criterion estimates the models orders more accurately than the standard AIC and AICc in large samples and often in small samples.
Item Type:  MPRA Paper 

Original Title:  Selection of weak VARMA models by Akaïke's information criteria 
English Title:  Selection of weak VARMA models by Akaïke's information criteria 
Language:  English 
Keywords:  AIC, discrepancy, KullbackLeibler information, QMLE/LSE, order selection, structural representation, weak VARMA models. 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  23412 
Depositing User:  Boubacar Mainassara Yacouba 
Date Deposited:  22. Jun 2010 08:34 
Last Modified:  10. Mar 2015 21:29 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/23412 