The Performance of AICC as an Order Selection Criterion in ARMA Time Series Models

Venus Liew and Mahendran Shitan
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Mahendran Shitan: Universiti Putra Malaysia

GE, Growth, Math methods from University Library of Munich, Germany

Abstract: This study is undertaken with the objective of investigating the performance of Akaike’s Information Corrected Criterion (AICC) as an order determination criterion for the selection of Autoregressive Moving-average or ARMA (p, q) time series models. A simulation investigation was carried out to determine the probability of the AICC statistic picking up the true model. Results obtained showed that the probability of the AICC criterion picking up the correct model was moderately good. The problem of over parameterization existed but under parameterization was found to be minimal. Hence, for any two comparable models, it is always safe to choose the one with lower order of p and q.

Keywords: AICC; ARMA; under/over parameterization (search for similar items in EconPapers)
JEL-codes: C6 D5 D9 (search for similar items in EconPapers)
Date: 2003-07-23
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpge:0307003

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