A Comparison between Different Order-Determination Criteria for Identification of ARIMA Models

Sergio G Koreisha and Tarmo Pukkila

Journal of Business & Economic Statistics, 1995, vol. 13, issue 1, 127-31

Abstract: The small-sample performance of several order-determination criteria for identification of ARIMA models is compared using simulated and economic data. The authors also demonstrate how the residual white-noise autoregressive order-determination criterion can be used to identify unit roots in nonstationary data.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:13:y:1995:i:1:p:127-31

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