Performance of Autoregressive Order Selection Criteria: A Simulation Study
Proper selection of autoregressive order plays a crucial role in econometrics modeling cycles and testing procedures. This paper compares the performance of various autoregressive order selection criteria in selecting the true order. This simulation study shows that Schwarz information criterion (S...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Universiti Putra Malaysia Press
2008
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18654/ http://ir.unimas.my/id/eprint/18654/8/Performance%20of%20Autoregressive%20Order%20Selection%20Criteria%20%28abstract0.pdf |
| _version_ | 1848838558902648832 |
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| author | Liew, Venus Khim-Sen Shitan, Mahnendran Choong, Chee-Keong Hooy, Chee-Wooi |
| author_facet | Liew, Venus Khim-Sen Shitan, Mahnendran Choong, Chee-Keong Hooy, Chee-Wooi |
| author_sort | Liew, Venus Khim-Sen |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | Proper selection of autoregressive order plays a crucial role in econometrics modeling cycles and testing procedures. This paper compares the performance of various autoregressive
order selection criteria in selecting the true order. This simulation study shows that Schwarz information criterion (SIC) , final prediction error (FPE) , Hannan-Qiunn criterion (HQC)
and Bayesian information criterion (BIC) have considerable high performance in selecting the true autoregressive order, even if the sample size is small, whereas Akaike’s information criterion (AIC) over-estimated the true order with a probability of more than two-thirds. Further, this simulation study also shows that the probability of these criteria (except AIC) in correctly estimating the true order approaches one as sample size grows. Generally, these findings show that the most commonly used AIC might yield misleading policy conclusions
due to its unsatisfactory performance. We note here that out of a class of commonly used criteria, BIC performs the best for a small sample size of 25 observations. |
| first_indexed | 2025-11-15T06:57:28Z |
| format | Article |
| id | unimas-18654 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:57:28Z |
| publishDate | 2008 |
| publisher | Universiti Putra Malaysia Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-186542017-11-20T07:48:36Z http://ir.unimas.my/id/eprint/18654/ Performance of Autoregressive Order Selection Criteria: A Simulation Study Liew, Venus Khim-Sen Shitan, Mahnendran Choong, Chee-Keong Hooy, Chee-Wooi HB Economic Theory Proper selection of autoregressive order plays a crucial role in econometrics modeling cycles and testing procedures. This paper compares the performance of various autoregressive order selection criteria in selecting the true order. This simulation study shows that Schwarz information criterion (SIC) , final prediction error (FPE) , Hannan-Qiunn criterion (HQC) and Bayesian information criterion (BIC) have considerable high performance in selecting the true autoregressive order, even if the sample size is small, whereas Akaike’s information criterion (AIC) over-estimated the true order with a probability of more than two-thirds. Further, this simulation study also shows that the probability of these criteria (except AIC) in correctly estimating the true order approaches one as sample size grows. Generally, these findings show that the most commonly used AIC might yield misleading policy conclusions due to its unsatisfactory performance. We note here that out of a class of commonly used criteria, BIC performs the best for a small sample size of 25 observations. Universiti Putra Malaysia Press 2008 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18654/8/Performance%20of%20Autoregressive%20Order%20Selection%20Criteria%20%28abstract0.pdf Liew, Venus Khim-Sen and Shitan, Mahnendran and Choong, Chee-Keong and Hooy, Chee-Wooi (2008) Performance of Autoregressive Order Selection Criteria: A Simulation Study. Pertanika Journal of Science & Technology, 16 (2). pp. 171-176. ISSN 0128-7680 https://www.researchgate.net/publication/255584762 |
| spellingShingle | HB Economic Theory Liew, Venus Khim-Sen Shitan, Mahnendran Choong, Chee-Keong Hooy, Chee-Wooi Performance of Autoregressive Order Selection Criteria: A Simulation Study |
| title | Performance of Autoregressive Order Selection Criteria:
A Simulation Study |
| title_full | Performance of Autoregressive Order Selection Criteria:
A Simulation Study |
| title_fullStr | Performance of Autoregressive Order Selection Criteria:
A Simulation Study |
| title_full_unstemmed | Performance of Autoregressive Order Selection Criteria:
A Simulation Study |
| title_short | Performance of Autoregressive Order Selection Criteria:
A Simulation Study |
| title_sort | performance of autoregressive order selection criteria:
a simulation study |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/18654/ http://ir.unimas.my/id/eprint/18654/ http://ir.unimas.my/id/eprint/18654/8/Performance%20of%20Autoregressive%20Order%20Selection%20Criteria%20%28abstract0.pdf |