On Autoregressive Order Selection Criteria

Venus, Khim-Sen Liew and Puah, Chin Hong and Lau, Sie-Hoe (2005) On Autoregressive Order Selection Criteria. Jurnal Akademik. pp. 71-81. ISSN 1511-9300

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Official URL: https://www.researchgate.net/publication/308076186...


This study investigates the performance of various commonly applied order selection criteria in selecting order of Autoregressive (AR) process. The most important finding of this study is that Akaike’s information criterion, Schwarz information criterion, Hannan-Quinn criterion, final prediction error and Bayesian information criterion perform considerably well in estimating the true autoregressive order, even in small sample. Besides, there is no significant gain in differentiating these criteria unless one has a considerable large sample size. This study contributes to the empirical literature by providing helpfully guidelines regarding the use of order selection criteria in determining the autoregressive order.

Item Type: Article
Uncontrolled Keywords: Autoregressive (AR), selection criteria, empirical literature, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak.
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Gani
Date Deposited: 06 May 2020 07:53
Last Modified: 01 Jun 2021 12:45
URI: http://ir.unimas.my/id/eprint/29602

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