Logo
Munich Personal RePEc Archive

Performance of lag length selection criteria in three different situations

Asghar, Zahid and Abid, Irum (2007): Performance of lag length selection criteria in three different situations. Published in: Interstat No. April 2007 (April 2007)

[thumbnail of MPRA_paper_40042.pdf]
Preview
PDF
MPRA_paper_40042.pdf

Download (60kB) | Preview

Abstract

Determination of the lag length of an autoregressive process is one of the most difficult parts of ARIMA modeling. Various lag length selection criteria (Akaike Information Criterion, Schwarz Information Criterion, Hannan-Quinn Criterion, Final Prediction Error, Corrected version of AIC) have been proposed in the literature to overcome this difficulty. We have compared these criteria for lag length selection for three different cases that is under normal errors, under non-normal errors and under structural break by using Monte Carlo simulation. It has been found that SIC is the best for large samples and no criteria is useful for selecting true lag length in presence of regime shifts or shocks to the system.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.