The Performance of AICC As Order Determination Criterion in ARMA time series models

Venus, Khim-Sen Liew and Shitan, Mahnendran (2002) The Performance of AICC As Order Determination Criterion in ARMA time series models. Pertanika J. Sci. & Technol., 10 (1). pp. 25-33.

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Abstract

This study is undertaken with the objective of investigating the performance of Akaike’s Information Corrected Criterion (AICC) as an order determination criterion for the selection of Autoregressive Moving-average or ARMA (p, q) time series models. A simulation investigation was carried out to determine the probability of the AICC statistic picking up the true model. Results obtained showed that the probability of the AICC criterion picking up the correct model was moderately good. The problem of over parameterization existed but under parameterization was found to be minimal. Hence, for any two comparable models, it is always safe to choose the one with lower order of p and q.

Item Type: Article
Uncontrolled Keywords: UNIMAS, Universiti Malaysia Sarawak, AICC, ARMA, under/over parameterization , unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education ,
Subjects: A General Works > AC Collections. Series. Collected works
A General Works > AC Collections. Series. Collected works

H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 05 Dec 2013 02:31
Last Modified: 28 Dec 2016 04:08
URI: http://ir.unimas.my/id/eprint/79

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