A small-sample criterion based on Kullback's symmetric divergence for vector autoregressive modeling

Bezza Hafidi

Statistics & Probability Letters, 2006, vol. 76, issue 15, 1647-1654

Abstract: In this note, we propose a small-sample criterion KICc for selecting vector autoregressive models. KICc is an approximately unbiased estimator of the expected Kullback's symmetric divergence. A simulation study shows that KICc provides better model order choices than the KIC criterion in small samples.

Keywords: Model; selection; AIC; KIC; Kullback; symmetric; divergence (search for similar items in EconPapers)
Date: 2006
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