Model identification using the Efficient Determination Criterion

Paulo Angelo Alves Resende and Chang Chung Yu Dorea

Journal of Multivariate Analysis, 2016, vol. 150, issue C, 229-244

Abstract: In the realm of the model selection context, Akaike’s and Schwarz’s information criteria, AIC and BIC, have been applied successfully for decades for model order identification. The Efficient Determination Criterion (EDC) is a generalization of these criteria, proposed originally to define a strongly consistent class of estimators for the dependency order of a multiple Markov chain. In this work, the EDC is generalized to partially nested models, which encompass many other order identification problems. Based on some assumptions, a class of strongly consistent estimators is established in this general environment. This framework is applied to BEKK multivariate GARCH models and, in particular, the strong consistency of the order estimator based on BIC is established for these models.

Keywords: EDC; BIC; AIC; Order estimation; BEKK-GARCH (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.jmva.2016.06.002

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