Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors

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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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Bibliographic Details
Main Authors:	Liew, Venus Khim-Sen, Chong, Terence Tai-Leung
Format:	Article
Language:	English
Published:	Orebro University School of Business 2005
Subjects:	HB Economic Theory
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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