The Performance of AICC As Order Determination Criterion in ARMA time series models
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 dete...
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| Format: | Article |
| Language: | English |
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Pertanika J. Sci. & Technol.
2002
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| Online Access: | http://ir.unimas.my/id/eprint/79/ http://ir.unimas.my/id/eprint/79/1/The%20Performance%20of%20AICC%20As%20Order%20Determination%20Criterion%20in%20ARMA%20time%20series%20models%20%28abstract%29.pdf |
| _version_ | 1848834482148212736 |
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| author | Venus, Khim-Sen Liew Shitan, Mahnendran |
| author_facet | Venus, Khim-Sen Liew Shitan, Mahnendran |
| author_sort | Venus, Khim-Sen Liew |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T05:52:40Z |
| format | Article |
| id | unimas-79 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T05:52:40Z |
| publishDate | 2002 |
| publisher | Pertanika J. Sci. & Technol. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-792016-12-28T04:08:49Z http://ir.unimas.my/id/eprint/79/ The Performance of AICC As Order Determination Criterion in ARMA time series models Venus, Khim-Sen Liew Shitan, Mahnendran AC Collections. Series. Collected works H Social Sciences (General) HB Economic Theory 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. Pertanika J. Sci. & Technol. 2002-01 Article PeerReviewed text en http://ir.unimas.my/id/eprint/79/1/The%20Performance%20of%20AICC%20As%20Order%20Determination%20Criterion%20in%20ARMA%20time%20series%20models%20%28abstract%29.pdf 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. |
| spellingShingle | AC Collections. Series. Collected works H Social Sciences (General) HB Economic Theory Venus, Khim-Sen Liew Shitan, Mahnendran The Performance of AICC As Order Determination Criterion in ARMA time series models |
| title | The Performance of AICC As Order Determination Criterion in ARMA time series models |
| title_full | The Performance of AICC As Order Determination Criterion in ARMA time series models |
| title_fullStr | The Performance of AICC As Order Determination Criterion in ARMA time series models |
| title_full_unstemmed | The Performance of AICC As Order Determination Criterion in ARMA time series models |
| title_short | The Performance of AICC As Order Determination Criterion in ARMA time series models |
| title_sort | performance of aicc as order determination criterion in arma time series models |
| topic | AC Collections. Series. Collected works H Social Sciences (General) HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/79/ http://ir.unimas.my/id/eprint/79/1/The%20Performance%20of%20AICC%20As%20Order%20Determination%20Criterion%20in%20ARMA%20time%20series%20models%20%28abstract%29.pdf |