EconPapers    
Economics at your fingertips  
 

The weighted average information criterion for order selection in time series and regression models

Tiee-Jian Wu and Alfred Sepulveda

Statistics & Probability Letters, 1998, vol. 39, issue 1, 1-10

Abstract: We propose a consistent criterion for model order selection in the model identification phase of time series and regression, based on a weighted average of an asymptotically efficient selection criterion, AICC (bias-corrected Akaike information criterion) and a consistent selection criterion, BIC (Akaike's Bayesian modification of AIC). The weights attached to AICC and BIC are optimal choices from a natural class of possible weights, and are proportional to the model-complexity penalty term of AICC and BIC, respectively. Thus, the AICC part of the criterion receives most of the weight for small sample size n, and the BIC part receives the most weight for large n. It is shown that this weighted average criterion, WIC, is essentially equivalent to AICC for small n and to BIC for large n. An extensive simulation study comparing the performance of WIC with several popular criteria has been done. It clearly shows that WIC is a very reliable and practical criterion. In particular, for small n, WIC performs as well as AICC and outperforms other criteria, and for large n, WIC performs as well as BIC and outperforms other criteria. This demonstrates the overall strength of WIC.

Keywords: AIC; AICC; Asymptotic; efficiency; BIC; Consistency; Order; selection; SIC (search for similar items in EconPapers)
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(98)00003-0
Full text for ScienceDirect subscribers only

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:eee:stapro:v:39:y:1998:i:1:p:1-10

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:stapro:v:39:y:1998:i:1:p:1-10