Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors

We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus, we...

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Main Authors: Liew, Venus Khim-Sen, Chong, Terence Tai-Leung
Format: Article
Language:English
Published: Orebro University School of Business 2005
Subjects:
Online Access:http://ir.unimas.my/id/eprint/18631/
http://ir.unimas.my/id/eprint/18631/7/Autoregressive%20Lag%20Length%20Selection%20Criteria%20%28abstract%29.pdf
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author Liew, Venus Khim-Sen
Chong, Terence Tai-Leung
author_facet Liew, Venus Khim-Sen
Chong, Terence Tai-Leung
author_sort Liew, Venus Khim-Sen
building UNIMAS Institutional Repository
collection Online Access
description We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus, we conclude that these criteria are applicable to empirical data such as stock market returns and exchange rate volatility that exhibit ARCH effects.
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spelling unimas-186312017-11-21T01:46:45Z http://ir.unimas.my/id/eprint/18631/ Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors Liew, Venus Khim-Sen Chong, Terence Tai-Leung HB Economic Theory We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus, we conclude that these criteria are applicable to empirical data such as stock market returns and exchange rate volatility that exhibit ARCH effects. Orebro University School of Business 2005-04-01 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18631/7/Autoregressive%20Lag%20Length%20Selection%20Criteria%20%28abstract%29.pdf Liew, Venus Khim-Sen and Chong, Terence Tai-Leung (2005) Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors. Economics Bulletin, 3 (19). pp. 1-5. ISSN 1545-2921 https://econpapers.repec.org/article/eblecbull/eb-05c20011.htm
spellingShingle HB Economic Theory
Liew, Venus Khim-Sen
Chong, Terence Tai-Leung
Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
title Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
title_full Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
title_fullStr Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
title_full_unstemmed Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
title_short Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
title_sort autoregressive lag length selection criteria in the presence of arch errors
topic HB Economic Theory
url http://ir.unimas.my/id/eprint/18631/
http://ir.unimas.my/id/eprint/18631/
http://ir.unimas.my/id/eprint/18631/7/Autoregressive%20Lag%20Length%20Selection%20Criteria%20%28abstract%29.pdf