Temporal Aggregation and the Akaike and Schwarz Model Selection Criteria. Some Monte Carlo Results

George Xanthos (), Kostantinos Gilas () and Dikaios Tserkezos ()
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George Xanthos: Technological Educational Institute of Crete
Kostantinos Gilas: University of Crete Department of Economics
Dikaios Tserkezos: University of Crete Department of Economics
Authors registered in the RePEc Author Service: Konstantinos Gkillas ()

Economics Bulletin, 2007, vol. 28, issue 8, A0

Abstract: This short paper demonstrates that the use of temporally aggregated data may affect the performance of the well known Akaike and Schwarz model selection criteria. These two criteria are widely used for model selection in linear and nonlinear models. Using Monte Carlo techniques, we find that temporal aggregation could affect seriously the performance of the two aforementioned criteria.

Date: 2007-10-08
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