A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

Clifford Hurvich and Chih‐Ling Tsai

Journal of Time Series Analysis, 1993, vol. 14, issue 3, 271-279

Abstract: Abstract. We develop a small‐sample criterion (AICC) for the selection of the order of vector autoregressive models. AICC is an approximately unbiased estimator of the expected Kullback‐Leibler information. Furthermore, AICC provides better model order choices than the Akaike information criterion in small samples.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (67)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1993.tb00144.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:14:y:1993:i:3:p:271-279

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().