Does BIC Estimate and Forecast Better Than AIC?

Carlos A. Medel () and Sergio Salgado Ibáñez

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: We test two questions: (i) Is the Bayesian information criterion (BIC) more parsimonious than the Akaike information criterion (AIC)?, and (ii) Can the BIC forecast better than the AIC? By using simulated data, we provide statistical inference of both hypotheses individually and then jointly with a multiple hypotheses testing procedure to control better for type-I error. Both testing procedures deliver the same result: The BIC shows an in- and out-of-sample superiority over AIC only in a long-sample context.

Date: 2012-11
New Economics Papers: this item is included in nep-ets and nep-for
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Related works:
Journal Article: Does the Bic Estimate and Forecast Better than the Aic? (2013)
Working Paper: Does BIC Estimate and Forecast Better than AIC? (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:679

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