Bootstrap Order Determination for ARMA Models: A Comparison between Different Model Selection Criteria

Livio Fenga

Journal of Probability and Statistics, 2017, vol. 2017, 1-12

Abstract:

The present paper deals with the order selection of models of the class for autoregressive moving average. A novel method—previously designed to enhance the selection capabilities of the Akaike Information Criterion and successfully tested—is now extended to the other three popular selectors commonly used by both theoretical statisticians and practitioners. They are the final prediction error, the Bayesian information criterion, and the Hannan-Quinn information criterion which are employed in conjunction with a semiparametric bootstrap scheme of the type sieve.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:1235979

DOI: 10.1155/2017/1235979

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