Asghar, Zahid and Abid, Irum (2007): Performance of lag length selection criteria in three different situations. Published in: Interstat No. April 2007 (April 2007)
Download (60kB) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Performance of lag length selection criteria in three different situations|
|Keywords:||Autoregressive, AIC, SIC, HQC, FPE, Monte Carlo Simulation|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Zahid Asghar|
|Date Deposited:||13. Jul 2012 14:40|
|Last Modified:||12. Feb 2013 22:55|
1. Akaike, H. (1969). Fitting Autoregressive models for prediction. Ann. Inst. Statist.Math. 21, 243-247.
2. Akaike, H. (1970a). Statisticsl predictor identification. Ann. Inst. Statist. Math., 22,203-217.
3. Akaike, H. (1973). Information theory and an extension of the maximum likelihood principle. In 2nd international symposium on information theory, Ed. B.N. Petrov and F. Csaki, pp. 267-81. Budapest Akademia Kiado.
4. Akaike, H. (1974). A new look at the statistical model identification. IEE Trans.Auto. Control 19, 716-723.
5. Akaike, H. (1981). Likelihood of a model and information criteria. J. Econometrics,16, 3-14.
6. Chow, G. C. (1981). A comparison of the information and the posterior probability criteria for model selection. J. Econometrics, 16, 21-33.
7. Hannan. E. J., Quinn. B. J. (1978). The determination of the lag length of an autoregression. Journal of Royal Statistical Society, 41, 190-195.
8. Liew, Venus Khim-Sen (2004). Which Lag Length Selection Criteria Should We Employ? Economics Bulletin, 3(33), 1-9.
9. Quinn, B. G. (1980). Order determination for a multivariate autoregression. Journal of Royal Statistical Society B, 42(2), 182-185.
10. Schwarz, Gideon (1978). Estimating the dimension of a model. The Annals of Statistics, 6(2), 461-464.